Testing for the significance of functional covariates in regression models

TL;DR

This paper introduces a new kernel-based statistical test to determine the significance of functional covariates in regression models with hybrid and functional data, demonstrating its effectiveness through simulations and real data.

Contribution

A novel asymptotic normality-based test for functional covariates in regression models, unaffected by covariate dimension, with proven consistency and local power properties.

Findings

Test statistic is asymptotically standard normal under null hypothesis.

The test is consistent against fixed alternatives and detects local alternatives.

Simulation and real data show good finite-sample performance.

Abstract

Regression models with a response variable taking values in a Hilbert space and hybrid covariates are considered. This means two sets of regressors are allowed, one of finite dimension and a second one functional with values in a Hilbert space. The problem we address is the test of the effect of the functional covariates. This problem occurs for instance when checking the goodness-of-fit of some regression models for functional data. The significance test for functional regressors in nonparametric regression with hybrid covariates and scalar or functional responses is another example where the core problem is the test on the effect of functional covariates. We propose a new test based on kernel smoothing. The test statistic is asymptotically standard normal under the null hypothesis provided the smoothing parameter tends to zero at a suitable rate. The one-sided test is consistent against any fixed alternative and detects local alternatives \`a la Pitman approaching the null hypothesis. In particular we show that neither the dimension of the outcome nor the dimension of the functional covariates influences the theoretical power of the test against such local alternatives. Simulation experiments and a real data application illustrate the performance of the new test with finite samples.