Abstract
This paper develops a unified asymptotic theory for conditional single-index U-statistics and the associated conditional U-processes in the setting of locally stationary functional time series subject to missing-at-random response mechanisms. The proposed framework addresses, within a single nonparametric inferential architecture, three major sources of complexity in modern functional data analysis: infinite-dimensional covariates, smoothly time-varying stochastic dynamics, and incomplete response observations. The methodology is based on a class of kernel-type estimators combining temporal localization, functional single-index smoothing, and inverse-propensity correction. Temporal localization captures the gradual evolution of the underlying regression structure, the single-index projection provides an effective dimension-reduction mechanism for functional covariates, and the propensity adjustment restores the target conditional functional under the MAR sampling scheme. The principal contribution of the paper is the establishment of weak convergence, in a suitable space of bounded functions, for the resulting propensity-adjusted conditional U-process indexed by a general class of measurable kernels. Under absolute regularity conditions, local stationarity assumptions, small-ball probability requirements, entropy restrictions of VC type, and uniform consistency of the propensity-score estimator, the normalized process is shown to converge weakly to a tight centered Gaussian process. The limiting covariance structure explicitly reflects the interaction between temporal smoothing, functional concentration, dependence, and the random loss of responses. In parallel, uniform convergence rates are derived for the associated conditional single-index U-statistic estimators, thereby quantifying the respective contributions of smoothing bias, stochastic fluctuation, local-stationarity approximation error, and missingness-induced variance inflation. A substantial part of the analysis is devoted to the technical difficulties created by the simultaneous presence of dependence, nonstationarity, functional covariates, and incomplete observations. The proofs combine Hoeffding-type decompositions adapted to weighted incomplete data, blocking and coupling arguments for absolutely regular triangular arrays, refined entropy bounds for kernel-indexed function classes, and small-ball probability techniques for functional covariates. The MAR mechanism is incorporated via inverse-propensity weighting, and its effects on the effective sample size, asymptotic variance, and bias structure are made explicit. The theory also provides a rigorous foundation for bandwidth selection through blocked, propensity-adjusted cross-validation and clarifies its relation to the corresponding oracle risk. The proposed framework encompasses a broad class of statistical learning and inference problems involving pairwise or higher-order functionals of functional time series. In particular, it applies to conditional Kendall-type functionals, discrimination problems, metric learning with incomplete labels, and conditional independence testing under local stationarity. A simulation study illustrates the finite-sample behavior of the proposed estimators and supports the theoretical findings across varying regimes of temporal nonstationarity, serial dependence, functional concentration, and response missingness. Overall, the results provide a mathematically rigorous and methodologically flexible foundation for inference from evolving functional data when dependence, infinite dimensionality, and incomplete observation are present simultaneously.
