Consistent variable selection for functional regression models

Author(s)

Collazos, Julian A. A. ; Dias, Ronaldo ; Zambom, Adriano Z.

• Document type: Journal article
• Source: JOURNAL OF MULTIVARIATE ANALYSIS; v. 146, p. 9-pg., 2016-04-01.

Abstract

The dual problem of testing the predictive significance of a particular covariate, and identification of the set of relevant covariates is common in applied research and methodological investigations. To study this problem in the context of functional linear regression models with predictor variables observed over a grid and a scalar response, we consider basis expansions of the functional covariates and apply the likelihood ratio test. Based on p-values from testing each predictor, we propose a new variable selection method, which is consistent in selecting the relevant predictors from set of available predictors that is allowed to grow with the sample size n. Numerical simulations suggest that the proposed variable selection procedure outperforms existing methods found in the literature. A real dataset from weather stations in Japan is analyzed. (C) 2016 Published by Elsevier Inc. (AU)

• FAPESP's process: 13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry
• Grantee: Francisco Louzada Neto
• Support Opportunities: Research Grants - Research, Innovation and Dissemination Centers - RIDC
• FAPESP's process: 13/00506-1 - Time series, wavelets and functional data analysis
• Grantee: Pedro Alberto Morettin
• Support Opportunities: Research Projects - Thematic Grants