
arXiv: 2202.08051
We develop methodology for testing hypotheses regarding the slope function in functional linear regression for time series via a reproducing kernel Hilbert space approach. In contrast to most of the literature, which considers tests for the exact nullity of the slope function, we are interested in the null hypothesis that the slope function vanishes only approximately, where deviations are measured with respect to the $L^2$-norm. An asymptotically pivotal test is proposed, which does not require the estimation of nuisance parameters and long-run covariances. The key technical tools to prove the validity of our approach include a uniform Bahadur representation and a weak invariance principle for a sequential process of estimates of the slope function. Both scalar-on-function and function-on-function linear regression are considered and finite-sample methods for implementing our methodology are provided. We also illustrate the potential of our methods by means of a small simulation study and a data example.
Statistics, self-normalization, \(m\)-approximability, relevant hypotheses, Mathematics - Statistics Theory, Statistics Theory (math.ST), functional linear regression, FOS: Mathematics, functional time series, reproducing kernel Hilbert space
Statistics, self-normalization, \(m\)-approximability, relevant hypotheses, Mathematics - Statistics Theory, Statistics Theory (math.ST), functional linear regression, FOS: Mathematics, functional time series, reproducing kernel Hilbert space
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