Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 225 / 4 / Solution

Let $B$ be the Hilbert-Schmidt operator with kernel $\beta$, so the function-on-function linear model is $Y=BX+\epsilon$. Independence and centering give $\mathbb{E}[Y\mid X]=BX$. Letand define the functional principal component scoresThe cross-covariance operator identity $C_{YX}=B{C}_X$ gives, for every ${\lambda }_j>0$,

Since $BX$ is centered, the requested integrated variance is $\mathbb{E}\Vert BX{\Vert }^2$. Applying the Karhunen–Loève expansion to $X$ and the Parseval identity in the ${\psi }_k$ basis yieldsEquivalently, if ${\rho }_{jk}=\mathrm{Corr}({\xi }_j,{\eta }_k)$, the expression is ${\sum }_k{\gamma }_k{\sum }_{j:{\lambda }_j>0}{\rho }_{jk}^2$.