English

Functional linear instrumental regression under second order stationarity

Statistics Theory 2016-03-16 v1 Statistics Theory

Abstract

We consider the problem of estimating the slope parameter in functional linear instrumental regression, where in the presence of an instrument W, i.e., an exogenous random function, a scalar response Y is modeled in dependence of an endogenous random function X. Assuming second order stationarity jointly for X and W a nonparametric estimator of the functional slope parameter and its derivatives is proposed based on an n-sample of (Y,X,W). In this paper the minimax optimal rate of convergence of the estimator is derived assuming that the slope parameter belongs to the well-known Sobolev space of periodic functions. We discuss the cases that the cross-covariance operator associated to the random functions X and W is finitely, infinitely or in some general form smoothing.

Keywords

Cite

@article{arxiv.1603.01649,
  title  = {Functional linear instrumental regression under second order stationarity},
  author = {Jan Johannes},
  journal= {arXiv preprint arXiv:1603.01649},
  year   = {2016}
}

Comments

arXiv admin note: text overlap with arXiv:0901.4266

R2 v1 2026-06-22T13:04:16.990Z