Non-asymptotic adaptive prediction in functional linear models
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Publication:900804
DOI10.1016/J.JMVA.2015.09.008zbMATH Open1328.62408arXiv1301.3017OpenAlexW2132458355MaRDI QIDQ900804FDOQ900804
Authors: E. Brunel, André Mas, Angelina Roche 
Publication date: 23 December 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: Functional linear regression has recently attracted considerable interest. Many works focus on asymptotic inference. In this paper we consider in a non asymptotic framework a simple estimation procedure based on functional Principal Regression. It revolves in the minimization of a least square contrast coupled with a classical projection on the space spanned by the m first empirical eigenvectors of the covariance operator of the functional sample. The novelty of our approach is to select automatically the crucial dimension m by minimization of a penalized least square contrast. Our method is based on model selection tools. Yet, since this kind of methods consists usually in projecting onto known non-random spaces, we need to adapt it to empirical eigenbasis made of data-dependent - hence random - vectors. The resulting estimator is fully adaptive and is shown to verify an oracle inequality for the risk associated to the prediction error and to attain optimal minimax rates of convergence over a certain class of ellipsoids. Our strategy of model selection is finally compared numerically with cross-validation.
Full work available at URL: https://arxiv.org/abs/1301.3017
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functional principal component analysisminimax ratefunctional linear regressionmean squared prediction errormodel selection on random basespenalized contrast estimator
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