Regression with Dependent Functional Errors-in-Predictors

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• Xinghao Qiao (London School of Economics)
• Thursday 17 May 2018, 11:00-12:00
• Seminar Room 2, Newton Institute.

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STS - Statistical scalability

Functional regression is an important topic in functional data analysis. Traditionally, in functional regression, one often assumes that samples of the functional predictor are independent realizations of an underlying stochastic process, and are observed over a grid of points contaminated by independent and identically distributed measurement errors. However, in practice, the dynamic dependence across different curves may exist and the parametric assumption on the measurement error covariance structure could be unrealistic. In this paper, we consider functional linear regression with serially dependent functional predictors, when the contamination of predictors by measurement error is “genuinely functional” with fully nonparametric covariance structure. Inspired by the fact that the autocovariance operator of the observed functional predictor automatically filters out the impact from the unobservable measurement error, we propose a novel generalized-method-of-moments estimator of the slope function. The asymptotic properties of the resulting estimators under different scenarios are established. We also demonstrate that the proposed method significantly outperforms possible competitors through intensive simulation studies. Finally, the proposed method is applied to a public financial dataset, revealing some interesting findings. This is a joint work with Cheng Chen and Shaojun Guo.

This talk is part of the Isaac Newton Institute Seminar Series series.

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