Functional Linear Model with Prior Information of Subjects' Network

被引:0
|
作者
Zhang, Xiaochen [1 ]
Zhang, Qingzhao [2 ,3 ]
Fang, Kuangnan [2 ]
机构
[1] Beijing Normal Univ, Fac Arts & Sci, Zhuhai, Peoples R China
[2] Xiamen Univ, Sch Econ, Xiamen, Peoples R China
[3] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China
基金
中国国家自然科学基金; 中国博士后科学基金;
关键词
Functional principal component analysis; High-dimensional functional data; Laplacian quadratic penalty; STOCK RETURN VOLATILITY; VARIABLE SELECTION; SHRINKAGE ESTIMATION; QUANTILE REGRESSION; TECHNICAL ANALYSIS; FOREIGN OWNERSHIP; MACD; RSI;
D O I
10.1080/10618600.2024.2319163
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In many modern applications, data samples are interconnected by a network, and network information is a crucial factor in forecasting. However, existing network data analysis methods, which are designed for scalar data, are not effective for infinite-dimensional function data, particularly when functional predictors are observed on an irregular sampling design. In this article, we propose a functional linear model for network-linked data. To improve the estimation and prediction, the network cohesion is enforced using the Laplace quadratic penalty function. The statistical properties of the proposed model are studied, and an extension to high-dimensional functional data is developed to simultaneously select relevant functional predictors and estimate the coefficient functions. Simulation results and real data application demonstrate the satisfactory performance of the proposed methods. Supplementary materials for this article are available online.
引用
收藏
页码:1150 / 1159
页数:10
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