Functional linear regression via canonical analysis

Details Functional linear regression via canonical analysis Functional linear regression via canonical analysis

2011-02-25

arxiv.org/abs/1102.5212v1

Bernoulli 2010, Vol. 16, No. 3, 705-729

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/09-BEJ228 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ228

We study regression models for the situation where both dependent and independent variables are square-integrable stochastic processes. Questions concerning the definition and existence of the corresponding functional linear regression models and some basic properties are explored for this situation. We derive a representation of the regression parameter function in terms of the canonical components of the processes involved. This representation establishes a connection between functional regression and functional canonical analysis and suggests alternative approaches for the implementation of functional linear regression analysis. A specific procedure for the estimation of the regression parameter function using canonical expansions is proposed and compared with an established functional principal component regression approach. As an example of an application, we present an analysis of mortality data for cohorts of medflies, obtained in experimental studies of aging and longevity.

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