Adaptive estimation in the functional nonparametric regression model

Abstract

In this paper, we consider nonparametric regression estimation when the predictor is a functional random variable (typically a curve) and the response is scalar. Starting from a classical collection of kernel estimates, the bias–variance decomposition of a pointwise risk is investigated to understand what can be expected at best from adaptive estimation. We propose a fully data-driven local bandwidth selection rule in the spirit of the Goldenshluger and Lepski method. The main result is a nonasymptotic risk bound which shows the optimality of our tuned estimator from the oracle point of view. Convergence rates are also derived for regression functions belonging to Hölder spaces and under various assumptions on the rate of decay of the small ball probability of the explanatory variable. A simulation study also illustrates the good practical performances of our estimator.