Principal varying coefficient estimator for high-dimensional models

DOI10.1080/02331888.2019.1663521zbMATH Open1434.62159OpenAlexW2974851121MaRDI QIDQ5205848FDOQ5205848

Authors: Weihua Zhao, F. Zhang, Rui Li, Heng Lian, Xuejun Wang 

Publication date: 17 December 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2019.1663521

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zbMATH Keywords

asymptotic propertiesB-splinessub-Gaussian distributionultra-high dimensionality

Mathematics Subject Classification ID

Density estimation (62G07) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Numerical computation using splines (65D07)

Cites Work

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• A note on the consistency of Schwarz's criterion in linear quantile regression with the SCAD penalty
• High Dimensional Thresholded Regression and Shrinkage Effect
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• A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction
• Dimensionality reduction and variable selection in multivariate varying-coefficient models with a large number of covariates

Cited In (4)

• Local linear smoothing for sparse high dimensional varying coefficient models
• High-dimensional varying index coefficient models via Stein's identity
• Sparse high-dimensional varying coefficient model: nonasymptotic minimax study
• High-dimensional quantile varying-coefficient models with dimension reduction

Uses Software

• grpreg

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