Nonparametric regression with adaptive truncation via a convex hierarchical penalty

DOI10.1093/BIOMET/ASY056MaRDI QIDQ5742756zbMATH OpenOpenAlexWikidataFDO

Authors Asad Haris, Ali Shojaie, Noah Simon

Publication date 8 May 2019

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.09972, http://europepmc.org/articles/pmc6691776

zbMATH Keywords

additive modelhigh-dimensional dataminimax estimationnonparametric regressionsparsity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: We consider the problem of non-parametric regression with a potentially large number of covariates. We propose a convex, penalized estimation framework that is particularly well-suited for high-dimensional sparse additive models. The proposed approach combines appealing features of finite basis representation and smoothing penalties for non-parametric estimation. In particular, in the case of additive models, a finite basis representation provides a parsimonious representation for fitted functions but is not adaptive when component functions posses different levels of complexity. On the other hand, a smoothing spline type penalty on the component functions is adaptive but does not offer a parsimonious representation of the estimated function. The proposed approach simultaneously achieves parsimony and adaptivity in a computationally efficient framework. We demonstrate these properties through empirical studies on both real and simulated datasets. We show that our estimator converges at the minimax rate for functions within a hierarchical class. We further establish minimax rates for a large class of sparse additive models. The proposed method is implemented using an efficient algorithm that scales similarly to the Lasso with the number of covariates and samples size.

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Cited in

(3)

• A spectral series approach to high-dimensional nonparametric regression
• A sparse additive model for high-dimensional interactions with an exposure variable
• Variable selection in additive models via hierarchical sparse penalty

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