## Bernoulli

• Bernoulli
• Volume 19, Number 5B (2013), 2627-2651.

### Asymptotics of prediction in functional linear regression with functional outputs

#### Abstract

We study prediction in the functional linear model with functional outputs, $Y=SX+\varepsilon$, where the covariates $X$ and $Y$ belong to some functional space and $S$ is a linear operator. We provide the asymptotic mean square prediction error for a random input with exact constants for our estimator which is based on the functional PCA of $X$. As a consequence we derive the optimal choice of the dimension $k_{n}$ of the projection space. The rates we obtain are optimal in minimax sense and generalize those found when the output is real. Our main results hold for class of inputs $X(\cdot )$ that may be either very irregular or very smooth. We also prove a central limit theorem for the predictor. We show that, due to the underlying inverse problem, the bare estimate cannot converge in distribution for the norm of the function space.

#### Article information

Source
Bernoulli, Volume 19, Number 5B (2013), 2627-2651.

Dates
First available in Project Euclid: 3 December 2013

Permanent link to this document
https://projecteuclid.org/euclid.bj/1386078615

Digital Object Identifier
doi:10.3150/12-BEJ469

Mathematical Reviews number (MathSciNet)
MR3160566

Zentralblatt MATH identifier
1280.62084

#### Citation

Crambes, Christophe; Mas, André. Asymptotics of prediction in functional linear regression with functional outputs. Bernoulli 19 (2013), no. 5B, 2627--2651. doi:10.3150/12-BEJ469. https://projecteuclid.org/euclid.bj/1386078615

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