Varying-Coefficient Additive Models with Density Responses and Functional Auto-Regressive Error Process

In many practical applications, data collected over time often exhibit autocorrelation, which, if unaccounted for, can lead to biased or misleading statistical inferences. To address this issue, we propose a varying-coefficient additive model for density-valued responses, incorporating a functional auto-regressive (FAR) error process to capture serial dependence. Our estimation procedure consists of three main steps, utilizing spline-based methods after mapping density functions into a linear space via the log-quantile density transformation. First, we obtain initial estimates of the bivariate varying-coefficient functions using a B-spline series approximation. Second, we estimate the error process from the residuals using spline smoothing techniques. Finally, we refine the estimates of the additive components by adjusting for the estimated error process. We establish theoretical properties of the proposed method, including convergence rates and asymptotic behavior. The effectiveness of our approach is further demonstrated through simulation studies and applications to real-world data.