Fr\'echet Regression for Random Objects with Euclidean Predictors

TL;DR

This paper introduces Fréchet regression, a novel statistical method for modeling complex, non-Euclidean response data in metric spaces with Euclidean predictors, extending classical regression concepts.

Contribution

It develops a general framework for regression with non-Euclidean responses, including global and local methods, and derives asymptotic properties for these estimators.

Findings

Effective regression methods for distributional and matrix-valued responses.

Asymptotic convergence rates established under regularity conditions.

Illustrations with demographic and brain imaging data demonstrate broad applicability.

Abstract

Increasingly, statisticians are faced with the task of analyzing complex data that are non-Euclidean and specifically do not lie in a vector space. To address the need for statistical methods for such data, we introduce the concept of Fr\'echet regression. This is a general approach to regression when responses are complex random objects in a metric space and predictors are in $\mathcal{R}^p$, achieved by extending the classical concept of a Fr\'echet mean to the notion of a conditional Fr\'echet mean. We develop generalized versions of both global least squares regression and local weighted least squares smoothing. The target quantities are appropriately defined population versions of global and local regression for response objects in a metric space. We derive asymptotic rates of convergence for the corresponding fitted regressions using observed data to the population targets under suitable regularity conditions by applying empirical process methods. For the special case of random objects that reside in a Hilbert space, such as regression models with vector predictors and functional data as responses, we obtain a limit distribution. The proposed methods have broad applicability. Illustrative examples include responses that consist of probability distributions and correlation matrices, and we demonstrate both global and local Fr\'echet regression for demographic and brain imaging data. Local Fr\'echet regression is also illustrated via a simulation with response data which lie on the sphere.