Fractals with point impact in functional linear regression

DOI10.1214/10-AOS791zbMATH Open1196.62116arXiv1010.4381WikidataQ42158251 ScholiaQ42158251MaRDI QIDQ988015FDOQ988015

Authors: Ian W. Mckeague, Bodhisattva Sen 

Publication date: 24 August 2010

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

Abstract: This paper develops a point impact linear regression model in which the trajectory of a continuous stochastic process, when evaluated at a sensitive time point, is associated with a scalar response. The proposed model complements and is more interpretable than the functional linear regression approach that has become popular in recent years. The trajectories are assumed to have fractal (self-similar) properties in common with a fractional Brownian motion with an unknown Hurst exponent. Bootstrap confidence intervals based on the least-squares estimator of the sensitive time point are developed. Misspecification of the point impact model by a functional linear model is also investigated. Non-Gaussian limit distributions and rates of convergence determined by the Hurst exponent play an important role.

Full work available at URL: https://arxiv.org/abs/1010.4381

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zbMATH Keywords

M-estimationmisspecificationempirical processesfractional Brownian motionfunctional linear regressionbootstrap methodsnonstandard asymptotics

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Brownian motion (60J65)

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Cited In (26)

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• Partial linear modelling with multi-functional covariates
• Methods for Scalar‐on‐Function Regression
• 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
• Sparse nonparametric model for regression with functional covariate
• A partitioned single functional index model
• 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
• Determining the order of the functional autoregressive model
• Selection of time instants and intervals with support vector regression for multivariate functional data
• Functional diffusion maps
• Variable Selection for the Prediction of C[0,1]-Valued Autoregressive Processes using Reproducing Kernel Hilbert Spaces
• Interpretable sparse SIR for functional data
• A novel framework for joint sparse clustering and alignment of functional data
• An introduction to recent advances in high/infinite dimensional statistics
• Feature selection for functional data
• Comments on: ``Probability enhanced effective dimension reduction for classifying sparse functional data
• Functional linear regression with points of impact
• Sparse nonparametric model for the detection of impact points of a functional variable
• Smoothly adaptively centered ridge estimator
• Hypothesis testing for points of impact in functional linear regression
• Estimation in functional lagged regression

Uses Software

• fda (R)
• longmemo

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