Generalized functional linear models

Details Generalized functional linear models Generalized functional linear models

2005-05-30

arxiv.org/abs/math/0505638v1

Annals of Statistics 2005, Vol. 33, No. 2, 774-805

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053604000001156 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053604000001156

We propose a generalized functional linear regression model for a regression situation where the response variable is a scalar and the predictor is a random function. A linear predictor is obtained by forming the scalar product of the predictor function with a smooth parameter function, and the expected value of the response is related to this linear predictor via a link function. If, in addition, a variance function is specified, this leads to a functional estimating equation which corresponds to maximizing a functional quasi-likelihood. This general approach includes the special cases of the functional linear model, as well as functional Poisson regression and functional binomial regression. The latter leads to procedures for classification and discrimination of stochastic processes and functional data. We also consider the situation where the link and variance functions are unknown and are estimated nonparametrically from the data, using a semiparametric quasi-likelihood procedure. An essential step in our proposal is dimension reduction by approximating the predictor processes with a truncated Karhunen-Loeve expansion. We develop asymptotic inference for the proposed class of generalized regression models. In the proposed asymptotic approach, the truncation parameter increases with sample size, and a martingale central limit theorem is applied to establish the resulting increasing dimension asymptotics. We establish asymptotic normality for a properly scaled distance between estimated and true functions that corresponds to a suitable L^2 metric and is defined through a generalized covariance operator.

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