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arXiv · 2311.00803

A method for variable selection in a multivariate functional linear regression model

Alban Mina Mbina·Guy Martial Nkiet
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Abstract

We propose a new variable selection procedure for a functional linear model with multiple scalar responses and multiple functional predictors. This method is based on basis expansions of the involved functional predictors and coefficients that lead to a multivariate linear regression model. Then a criterion by means of which the variable selection problem reduces to that of estimating a suitable set is introduced. Estimation of this set is achieved by using appropriate penalizations of estimates of this criterion, so leading to our proposal. A simulation study that permits to investigate the effectiveness of the proposed approach and to compare it with existing methods is given.

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Alban Mina Mbina, Guy Martial Nkiet. 2023-11-01. A method for variable selection in a multivariate functional linear regression model. https://arxiv.org/abs/2311.00803

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