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We discuss scalar‐on‐function regression models where all parameters of the assumed response distribution can be modelled depending on covariates. We thus combine signal regression models with generalized additive models for location, scale and shape. Our approach is motivated by a time series of stock returns, where it is of interest to model both the expectation and the variance depending on lagged...
Summary. Generalized additive models for location, scale and shape (GAMLSSs) are a popular semiparametric modelling approach that, in contrast with conventional generalized additive models, regress not only the expected mean but also every distribution parameter (e.g. location, scale and shape) to a set of covariates. Current fitting procedures for GAMLSSs are infeasible for high dimensional data...
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