Methodology and convergence rates for functional linear regression

DOI10.1214/009053606000000957MaRDI QIDQ997371zbMATH OpenOpenAlexFDO

Authors Joel Horowitz, Peter Hall

Publication date 23 July 2007

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

Full work available at URL https://arxiv.org/abs/0708.0466

zbMATH Keywords

deconvolutiondimension reductioneigenfunctioneigenvaluelinear operatorminimax optimalitynonparametricprincipal components analysisquadratic regularisationsmoothing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)

Abstract: In functional linear regression, the slope ``parameter is a function. Therefore, in a nonparametric context, it is determined by an infinite number of unknowns. Its estimation involves solving an ill-posed problem and has points of contact with a range of methodologies, including statistical smoothing and deconvolution. The standard approach to estimating the slope function is based explicitly on functional principal components analysis and, consequently, on spectral decomposition in terms of eigenvalues and eigenfunctions. We discuss this approach in detail and show that in certain circumstances, optimal convergence rates are achieved by the PCA technique. An alternative approach based on quadratic regularisation is suggested and shown to have advantages from some points of view.

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