Combining Concurrent and Historical Functional Linear Regression
We study a function-on-function linear regression model in which the response at time $t$ depends on both the past trajectory of a predictor and its concurrent value. The model combines an $L^2$-historical effect with a point-evaluation effect, and these two coefficient functions are not automatically identifiable. We characterize the resulting non-identifiability and show that the concurrent and historical effects are separately identifiable whenever the covariance eigenfunctions of the covariance operator of the predictor are not pointwise square-summable. This mild and novel condition prevents the concurrent point evaluation from being represented by an $L^2$-historical effect. Building on an orthogonalized representation of the predictor process, we propose a smoothing-spline estimator for both coefficient functions and establish consistency rates. The rates reveal an interesting trade-off between path regularity and eigenvalue decay: smoother predictor trajectories lead to faster convergence of the historical-effect estimator, whereas rougher trajectories lead to faster convergence of the concurrent-effect estimator. Simulation studies and two real-data applications demonstrate the practical importance of disentangling concurrent and historical effects.