VARIABLE SELECTION AND ESTIMATION IN MULTIVARIATE FUNCTIONAL LINEAR REGRESSION VIA THE LASSO

Angelina Roche (1)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

In more and more applications, a quantity of interest may depend on several covariates, with at least one of them infinite-dimensional (e.g. a curve). To select the relevant covariates in this context, we propose an adaptation of the Lasso method. Two estimation methods are defined. The first one consists in the minimisation of a criterion inspired by classical Lasso inference under group sparsity (Yuan and Lin, 2006; Lounici et al., 2011) on the whole multivariate functional space H. The second one minimises the same criterion but on a finite-dimensional subspace of H which dimension is chosen by a penalized leasts-squares method base on the work of Barron et al. (1999). Sparsity- oracle inequalities are proven in case of fixed or random design in our infinite-dimensional context. To calculate the solutions of both criteria, we propose a coordinate-wise descent algorithm, inspired by the glmnet algorithm (Friedman et al., 2007). A numerical study on simulated and experimental datasets illustrates the behavior of the estimators.

Domaines: Statistiques [math.ST]

Angelina Roche. VARIABLE SELECTION AND ESTIMATION IN MULTIVARIATE FUNCTIONAL LINEAR REGRESSION VIA THE LASSO. 2019. ⟨hal-01725351v3⟩