CLT in functional linear regression models

DOI10.1007/S00440-006-0025-2zbMATH Open1113.60025arXivmath/0508073OpenAlexW2009416915MaRDI QIDQ880935FDOQ880935

Hervé Cardot, André Mas, Pascal Sarda

Publication date: 21 May 2007

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We propose in this work to derive a CLT in the functional linear regression model to get confidence sets for prediction based on functional linear regression. The main difficulty is due to the fact that estimation of the functional parameter leads to a kind of ill-posed inverse problem. We consider estimators that belong to a large class of regularizing methods and we first show that, contrary to the multivariate case, it is not possible to state a CLT in the topology of the considered functional space. However, we show that we can get a CLT for the weak topology under mild hypotheses and in particular without assuming any strong assumptions on the decay of the eigenvalues of the covariance operator. Rates of convergence depend on the smoothness of the functional coefficient and on the point in which the prediction is made.

Full work available at URL: https://arxiv.org/abs/math/0508073

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zbMATH Keywords

RegularizationInverse problemCentral limit theoremPerturbation theoryCovariance operatorFunctional data analysisHilbertian random variables

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Central limit and other weak theorems (60F05) Inverse problems for integral equations (45Q05) Stochastic integrals (60H05)

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Cited In (68)

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Uses Software

• fda (R)

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