Locally Sparse Function-on-Function Regression

DOI10.1080/10618600.2022.2130926MaRDI QIDQ6180728zbMATH OpenOpenAlexFDO

Authors Mauro Bernardi, Antonio Canale, Marco Stefanucci

Publication date 22 January 2024

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.13042

zbMATH Keywords

functional data analysisnonconcurrent functional linear modeloverlap group Lasso

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: In functional data analysis, functional linear regression has attracted significant attention recently. Herein, we consider the case where both the response and covariates are functions. There are two available approaches for addressing such a situation: concurrent and nonconcurrent functional models. In the former, the value of the functional response at a given domain point depends only on the value of the functional regressors evaluated at the same domain point, whereas, in the latter, the functional covariates evaluated at each point of their domain have a non-null effect on the response at any point of its domain. To balance these two extremes, we propose a locally sparse functional regression model in which the functional regression coefficient is allowed (but not forced) to be exactly zero for a subset of its domain. This is achieved using a suitable basis representation of the functional regression coefficient and exploiting an overlapping group-Lasso penalty for its estimation. We introduce efficient computational strategies based on majorization-minimization algorithms and discuss appealing theoretical properties regarding the model support and consistency of the proposed estimator. We further illustrate the empirical performance of the method through simulations and two applications related to human mortality and bidding the energy market.

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