Functional linear regression with points of impact

DOI10.1214/15-AOS1323zbMATH Open1331.62233arXiv1601.02798OpenAlexW2192126618MaRDI QIDQ5963514FDOQ5963514

Alois Kneip, Pascal Sarda, Dominik Poss

Publication date: 22 February 2016

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

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.

Full work available at URL: https://arxiv.org/abs/1601.02798

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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)

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Cited In (17)

• Partial linear modelling with multi-functional covariates
• Prediction in functional regression with discretely observed and noisy covariates
• An RKHS model for variable selection in functional linear regression
• Recent advances in functional data analysis and high-dimensional statistics
• Regularised forecasting via smooth-rough partitioning of the regression coefficients
• An adaptive group Lasso approach for domain selection in functional generalized linear models
• Optimal rate for prediction when predictor and response are functions
• Variable selection in functional regression models: a review
• Improving Estimation in Functional Linear Regression With Points of Impact: Insights Into Google AdWords
• Pointwise influence matrices for functional‐response regression
• Selection of time instants and intervals with support vector regression for multivariate functional data
• Interpretable sparse SIR for functional data
• On the functional regression model and its finite-dimensional approximations
• Sparse clustering of functional data
• A Functional Information Criterion for Region Selection in Functional Linear Models
• Smoothly adaptively centered ridge estimator
• Hypothesis testing for points of impact in functional linear regression

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