Linear prediction in functional data analysis

Hyejin Shin and Tailen Hsing

Stochastic Processes and their Applications, 2012, vol. 122, issue 11, 3680-3700

Abstract: In this paper we introduce a new perspective of linear prediction in the functional data context that predicts a scalar response by observing a functional predictor. This perspective broadens the scope of functional linear prediction currently in the literature, which is exclusively focused on the functional linear regression model. It also provides a natural link to the classical linear prediction theory. Based on this formulation, we derive the convergence rate of the optimal mean squared predictor.

Keywords: Hilbert space; Unbounded linear functional; Principal components; Convergence rate (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2012.06.014

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