Functional linear regression with points of impact

DOI10.1214/15-AOS1323MaRDI QIDQ5963514zbMATH OpenOpenAlexFDO

Authors Alois Kneip, Dominik Poss, Pascal Sarda

Publication date 22 February 2016

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.02798, https://projecteuclid.org/euclid.aos/1449755955

zbMATH Keywords

model selectionstochastic processesfunctional linear regressionnonstandard asymptotics

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Inference from stochastic processes (62M99)

Abstract: The paper considers functional linear regression, where scalar responses $Y_1,ldots,Y_n$ are modeled in dependence of i.i.d. random functions $X_1,ldots,X_n$. We study a generalization of the classical functional linear regression model. It is assumed that there exists an unknown number of "points of impact," that is, discrete observation times where the corresponding functional values possess significant influences on the response variable. In addition to estimating a functional slope parameter, the problem then is to determine the number and locations of points of impact as well as corresponding regression coefficients. Identifiability of the generalized model is considered in detail. It is shown that points of impact are identifiable if the underlying process generating $X_1,ldots,X_n$ possesses "specific local variation." Examples are well-known processes like the Brownian motion, fractional Brownian motion or the Ornstein-Uhlenbeck process. The paper then proposes an easily implementable method for estimating the number and locations of points of impact. It is shown that this number can be estimated consistently. Furthermore, rates of convergence for location estimates, regression coefficients and the slope parameter are derived. Finally, some simulation results as well as a real data application are presented.

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Cited in

(23)

• Partial linear modelling with multi-functional covariates
• Prediction in functional regression with discretely observed and noisy covariates
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• An RKHS model for variable selection in functional linear regression
• Recent advances in functional data analysis and high-dimensional statistics
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