Local linear smoothing for sparse high dimensional varying coefficient models
DOI10.1214/16-EJS1110zbMATH Open1349.62313OpenAlexW2328212019MaRDI QIDQ276223FDOQ276223
Authors: Eun Ryung Lee, Enno Mammen 
Publication date: 3 May 2016
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1459967425
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semiparametric modelsparse estimationoracle inequalityvarying coefficient modelsconsistent structural identificationkernel methodlocal linear smoothinglocal stationary time seriespenalized methodssecond order cone programming
Nonparametric estimation (62G05) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (11)
- Variance estimation for sparse ultra-high dimensional varying coefficient models
- Inference of high-dimensional linear models with time-varying coefficients
- Computational aspects of the kNN local linear smoothing for some conditional models in high dimensional statistics
- Simultaneous selection and inference for varying coefficients with zero regions: a soft-thresholding approach
- Non-separable models with high-dimensional data
- Adaptively weighted group Lasso for semiparametric quantile regression models
- Boosting high dimensional predictive regressions with time varying parameters
- Sparse high-dimensional varying coefficient model: nonasymptotic minimax study
- Penalized kernel quantile regression for varying coefficient models
- Nonparametric homogeneity pursuit in functional-coefficient models
- On estimation in varying coefficient models for sparse and irregularly sampled functional data
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