Prediction in functional regression with discretely observed and noisy covariates

Siegfried Hörmann; Fatima Jammoul

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arXiv · 2112.06486

Prediction in functional regression with discretely observed and noisy covariates

Siegfried Hörmann·Fatima Jammoul

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Abstract

In practice functional data are sampled on a discrete set of observation points and often susceptible to noise. We consider in this paper the setting where such data are used as explanatory variables in a regression problem. If the primary goal is prediction, we show that the gain by embedding the problem into a scalar-on-function regression is limited. Instead we impose a factor model on the predictors and suggest regressing the response on an appropriate number of factor scores. This approach is shown to be consistent under mild technical assumptions, numerically efficient and gives good practical performance in both simulations as well as real data settings.

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Siegfried Hörmann, Fatima Jammoul. 2021-12-13. Prediction in functional regression with discretely observed and noisy covariates. https://arxiv.org/abs/2112.06486

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