Sparse Additive Regression on a Regular Lattice
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Publication:5378124
DOI10.1111/RSSB.12075zbMATH Open1414.62298arXiv1307.5992OpenAlexW2147508344MaRDI QIDQ5378124FDOQ5378124
Tal Lahav, Felix P. Abramovich
Publication date: 12 June 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Abstract: We consider estimation in a sparse additive regression model with the design points on a regular lattice. We establish the minimax convergence rates over Sobolev classes and propose a Fourier-based rate-optimal estimator which is adaptive to the unknown sparsity and smoothness of the response function. The estimator is derived within Bayesian formalism but can be naturally viewed as a penalized maximum likelihood estimator with the complexity penalties on the number of nonzero univariate additive components of the response and on the numbers of the nonzero coefficients of their Fourer expansions. We compare it with several existing counterparts and perform a short simulation study to demonstrate its performance.
Full work available at URL: https://arxiv.org/abs/1307.5992
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