Mathematics – Statistics Theory
Scientific paper
2009-01-27
Mathematics
Statistics Theory
Scientific paper
We consider the problem of estimating the slope parameter in functional linear regression, where scalar responses Y1,...,Yn are modeled in dependence of second order stationary random functions X1,...,Xn. An orthogonal series estimator of the functional slope parameter with additional thresholding in the Fourier domain is proposed and its performance is measured with respect to a wide range of weighted risks covering as examples the mean squared prediction error and the mean integrated squared error for derivative estimation. In this paper the minimax optimal rate of convergence of the estimator is derived over a large class of different regularity spaces for the slope parameter and of different link conditions for the covariance operator. These general results are illustrated by the particular example of the well-known Sobolev space of periodic functions as regularity space for the slope parameter and the case of finitely or infinitely smoothing covariance operator.
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