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An RKHS model for variable selection in functional linear regression

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  • Berrendero, José R.
  • Bueno-Larraz, Beatriz
  • Cuevas, Antonio

Abstract

A mathematical model for variable selection in functional linear regression models with scalar response is proposed. By “variable selection” we mean a procedure to replace the whole trajectories of the functional explanatory variables with their values at a finite number of carefully selected instants (or “impact points”). The basic idea of our approach is to use the Reproducing Kernel Hilbert Space (RKHS) associated with the underlying process, instead of the more usual L2[0,1] space, in the definition of the linear model. This turns out to be especially suitable for variable selection purposes, since the finite-dimensional linear model based on the selected “impact points” can be seen as a particular case of the RKHS-based linear functional model. In this framework, we address the consistent estimation of the optimal design of impact points and we check, via simulations and real data examples, the performance of the proposed method.

Suggested Citation

  • Berrendero, José R. & Bueno-Larraz, Beatriz & Cuevas, Antonio, 2019. "An RKHS model for variable selection in functional linear regression," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 25-45.
    • Handle: RePEc:eee:jmvana:v:170:y:2019:i:c:p:25-45
    DOI: 10.1016/j.jmva.2018.04.008
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    References listed on IDEAS

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    1. A. Delaigle & P. Hall & N. Bathia, 2012. "Componentwise classification and clustering of functional data," Biometrika, Biometrika Trust, vol. 99(2), pages 299-313.
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    4. Fraiman, Ricardo & Gimenez, Yanina & Svarc, Marcela, 2016. "Feature selection for functional data," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 191-208.
    5. F. Ferraty & P. Hall & P. Vieu, 2010. "Most-predictive design points for functional data predictors," Biometrika, Biometrika Trust, vol. 97(4), pages 807-824.
    6. Aneiros, Germán & Vieu, Philippe, 2014. "Variable selection in infinite-dimensional problems," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 12-20.
    7. Jianqing Fan & Jinchi Lv, 2008. "Sure independence screening for ultrahigh dimensional feature space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 849-911, November.
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    Cited by:

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    7. Aneiros, Germán & Cao, Ricardo & Fraiman, Ricardo & Genest, Christian & Vieu, Philippe, 2019. "Recent advances in functional data analysis and high-dimensional statistics," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 3-9.

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