Linear Model Estimators and Consistency under an Infill Asymptotic Domain

Abstract

Functional data present as functions or curves possessing a spatial or temporal component. These components by nature have a fixed observational domain. Consequently, any asymptotic investigation requires modelling the increased correlation among observations as density increases due to this fixed domain constraint. One such appropriate stochastic process is the Ornstein-Uhlenbeck process. Utilizing this spatial autoregressive process, we demonstrate that parameter estimators for a simple linear regression model display inconsistency in an infill asymptotic domain. Such results are contrary to those expected under the customary increasing domain asymptotics. Although none of these estimator variances approach zero, they do display a pattern of diminishing return regarding decreasing estimator variance as sample size increases. This may prove invaluable to a practitioner as this indicates perhaps an optimal sample size to cease data collection. This in turn reduces time and data collection cost because little information is gained in sampling beyond a certain sample size.