Universal sieve-based strategies for efficient estimation using machine learning tools (Q1983607): Difference between revisions

Regression models attempt to explain the behavior of a variable of interest (\(Y\)) from explanatory variables (\(X\)). After a random sample, one can write the regression equation as \(y_i = g(x_i) + e_i\), with \(E(e_i|x_i) = 0\), \(i = 1, \ldots, n\). The regression equation is nonparametric when \(g(x)\) cannot be summarized by a finite set of parameters. In this context, sieve regression estimators can be used to estimate \(g(x)\). Examples of sieve regression are polynomials and splines. Unfortunately, some properties, like asymptotic efficiency, cannot be achieved using sieve regression estimators. In their work, Qiu, Luedtke and Carone proposed two approaches: estimating the unknown function with Highly Adaptive Lasso and using data-adaptive series based on an initial maximum likelihood fit, which can overcome some difficulties related to sieve theory without performance loss against existing methods.