Minimax and Adaptive Prediction for Functional Linear Regression

Abstract

This article considers minimax and adaptive prediction with functional predictors in the framework of functional linear model and reproducing kernel Hilbert space. Minimax rate of convergence for the excess prediction risk is established. It is shown that the optimal rate is determined jointly by the reproducing kernel and the covariance kernel. In particular, the alignment of these two kernels can significantly affect the difficulty of the prediction problem. In contrast, the existing literature has so far focused only on the setting where the two kernels are nearly perfectly aligned. This motivates us to propose an easily implementable data-driven roughness regularization predictor that is shown to attain the optimal rate of convergence adaptively without the need of knowing the covariance kernel. Simulation studies are carried out to illustrate the merits of the adaptive predictor and to demonstrate the theoretical results.

KEY WORDS:

• Functional linear model
• Minimax rate of convergence
• Principal components analysis
• Reproducing kernel Hilbert space
• Spectral decomposition

Acknowledgments

The research of Tony Cai was supported in part by NSF FRG grant DMS-0854973. The research of Ming Yuan was supported in part by NSF Career Award DMS-0846234.