On a general definition of the functional linear model

Abstract

A general formulation of the linear model with functional (random) explanatory variable X=X(t),t∈T , and scalar response Y is proposed. It includes the standard functional linear model, based on the inner product in the space L2[0,1], as a particular case. It also includes all models in which Y is assumed to be (up to an additive noise) a linear combination of a finite or countable collections of marginal variables X(t_j), with tj∈T or a linear combination of a finite number of linear projections of X. This general formulation can be interpreted in terms of the RKHS space generated by the covariance function of the process X(t). Some consistency results are proved. A few experimental results are given in order to show the practical interest of considering, in a unified framework, linear models based on a finite number of marginals X(tj) of the process X(t).