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On principal components regression with Hilbertian predictors

  • Ben Jones
  • Andreas Artemiou
Article
  • 5 Downloads

Abstract

We demonstrate that, in a regression setting with a Hilbertian predictor, a response variable is more likely to be more highly correlated with the leading principal components of the predictor than with trailing ones. This is despite the extraction procedure being unsupervised. Our results are established under the conditional independence model, which includes linear regression and single-index models as special cases, with some assumptions on the regression vector. These results are a generalisation of earlier work which showed that this phenomenon holds for predictors which are real random vectors. A simulation study is used to quantify the phenomenon.

Keywords

Conditional independence Hilbertian random variables Principal components regression Elliptical distributions Cauchy distribution 

Notes

Acknowledgements

We would like to thank the Editor, Associate Editor and two reviewers for their constructive comments and suggestions which helped improve an earlier version of the manuscript.

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Copyright information

© The Institute of Statistical Mathematics, Tokyo 2018

Authors and Affiliations

  1. 1.School of MathematicsCardiff UniversityCardiffUK

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