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Variable selection in nonparametric functional concurrent regression
Author(s) -
Ghosal Rahul,
Maity Arnab
Publication year - 2022
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.1002/cjs.11654
Subject(s) - covariate , lasso (programming language) , nonparametric statistics , feature selection , variable (mathematics) , selection (genetic algorithm) , regression analysis , computer science , statistics , econometrics , mathematics , machine learning , mathematical analysis , world wide web
We develop a new method for variable selection in nonparametric functional concurrent regression. The commonly used functional linear concurrent model (FLCM) is far too restrictive in assuming linearity of the covariate effects, which is not necessarily true in many real‐world applications. The nonparametric functional concurrent model (NPFCM), on the other hand, is much more flexible and can capture complex dynamic relationships present between the response and the covariates. We extend the classically used variable selection methods, e.g., group LASSO, group SCAD and group MCP, to perform variable selection in NPFCM. We show via numerical simulations that the proposed variable selection method with the non‐convex penalties can identify the true functional predictors with minimal false‐positive rate and negligible false‐negative rate. The proposed method also provides better out‐of‐sample prediction accuracy compared to the FLCM in the presence of nonlinear effects of the functional predictors. The proposed method's application is demonstrated by identifying the influential predictor variables in two real data studies: a dietary calcium absorption study, and some bike‐sharing data.