Sieve (Q104872)
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Nonparametric Estimation by the Method of Sieves
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| English | Sieve |
Nonparametric Estimation by the Method of Sieves |
Statements
19 October 2023
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Performs multivariate nonparametric regression/classification by the method of sieves (using orthogonal basis). The method is suitable for moderate high-dimensional features (dimension < 100). The l1-penalized sieve estimator, a nonparametric generalization of Lasso, is adaptive to the feature dimension with provable theoretical guarantees. We also include a nonparametric stochastic gradient descent estimator, Sieve-SGD, for online or large scale batch problems. Details of the methods can be found in: <arXiv:2206.02994> <arXiv:2104.00846><arXiv:2310.12140>.
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