Smooth LASSO Estimator for the Function-on-Function Linear Regression Model

33/2020

Smooth LASSO Estimator for the Function-on-Function Linear Regression Model

Monday 18th May 2020

Centofanti, F.; Fontana, M.; Lepore, A.; Vantini, S.

A new estimator, named as S-LASSO, is proposed for the coefficient function of a functional linear regression model where values of the response function, at a given domain point, depends on the full trajectory of the covariate function. The S-LASSO estimator is shown to be able to increase the interpretability of the model, by better locating regions where the coefficient function is zero, and to smoothly estimate non-zero values of the coeffcient function. The sparsity of the estimator is ensured by a functional LASSO penalty whereas the smoothness is provided by two roughness penalties. The resulting estimator is proved to be estimation and pointwise sign consistent. Via an extensive Monte Carlo simulation study, the estimation and predictive performance of the S-LASSO estimator are shown to be better than (or at worst comparable with) competing estimators already presented in the literature before. Practical advantages of the S-LASSO estimator are illustrated through the analysis of the well known Canadian weather and Swedish mortality data.