Variable selection in functional regression models: a review

Abstract

Despite of various similar features, Functional Data Analysis and High-Dimensional Data Analysis are two major fields in Statistics that grew up recently almost independently one from each other. The aim of this paper is to propose a survey on methodological advances for variable selection in functional regression, which is typically a question for which both functional and multivariate ideas are crossing. More than a simple survey, this paper aims to promote even more new links between both areas.