Journal Article

Prediction in Functional Linear Regression

Cai, T. Tony, Hall, Peter

2006

Overview

There has been substantial recent work on methods for estimating the slope function in linear regression for functional data analysis. However, as in the case of more conventional finite-dimensional regression, much of the practical interest in the slope centers on its application for the purpose of prediction, rather than on its significance in its own right. We show that the problems of slope-function estimation, and of prediction from an estimator of the slope function, have very different characteristics. While the former is intrinsically nonparametric, the latter can be either nonparametric or semi-parametric. In particular, the optimal mean-square convergence rate of predictors is n⁻¹, where n denotes sample size, if the predictand is a sufficiently smooth function. In other cases, convergence occurs at a polynomial rate that is strictly slower than n⁻¹. At the boundary between these two regimes, the mean-square convergence rate is less than n⁻¹ by only a logarithmic factor. More generally, the rate of convergence of the predicted value of the mean response in the regression model, given a particular value of the explanatory variable, is determined by a subtle interaction among the smoothness of the predictand, of the slope function in the model, and of the autocovariance function for the distribution of explanatory variables.

• Publisher: Institute of Mathematical Statistics,The Institute of Mathematical Statistics
• Subject: 62G20 / 62J05 / Bootstrap / Bootstrap method / Consistent estimators / covariance / Data analysis / Data smoothing / Density estimation / dimension reduction / eigenfunction / eigenvalue / Eigenvalues / eigenvector / Error rates / Estimators / Exact sciences and technology / functional data analysis / Inference from stochastic processes; time series analysis / intercept / Linear inference, regression / Linear regression / Mathematical functions / Mathematical models / Mathematics / minimax / Multivariate analysis / Nonparametric inference / Nonparametric Statistical Analysis / optimal convergence rate / principal components analysis / Probability and statistics / rate of convergence / Regression analysis / Sciences and techniques of general use / slope / smoothing / spectral decomposition / Statistical methods / Statistics / Studies