Sieve

CRANSieveMaRDI QIDQ104872

Nonparametric Estimation by the Method of Sieves

Tianyu Zhang

Last update: 19 October 2023

Software version identifier: 1.0, 2.0, 2.1

Copyright license: GNU General Public License, version 2.0

Description

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>.

Cites work

• Regression in Tensor Product Spaces by the Method of Sieves
• A Sieve Stochastic Gradient Descent Estimator for Online Nonparametric Regression in Sobolev ellipsoids
• Online Estimation with Rolling Validation: Adaptive Nonparametric Estimation with Stream Data