From dense to sparse design: Optimal rates under the supremum norm for estimating the mean function in functional data analysis

Abstract

We derive optimal rates of convergence in the supremum norm for estimating the H\"older-smooth mean function of a stochastic process which is repeatedly and discretely observed with additional errors at fixed, multivariate, synchronous design points, the typical scenario for machine recorded functional data. Similarly to the optimal rates in $L_2$ obtained in \citet{cai2011optimal}, for sparse design a discretization term dominates, while in the dense case the parametric $\sqrt n$ rate can be achieved as if the $n$ processes were continuously observed without errors. The supremum norm is of practical interest since it corresponds to the visualization of the estimation error, and forms the basis for the construction uniform confidence bands. We show that in contrast to the analysis in $L_2$, there is an intermediate regime between the sparse and dense cases dominated by the contribution of the observation errors. Furthermore, under the supremum norm interpolation estimators which suffice in $L_2$ turn out to be sub-optimal in the dense setting, which helps to explain their poor empirical performance. In contrast to previous contributions involving the supremum norm, we discuss optimality even in the multivariate setting, and for dense design obtain the $\sqrt n$ rate of convergence without additional logarithmic factors. We also obtain a central limit theorem in the supremum norm, and provide simulations and real data applications to illustrate our results