Sparse High-dimensional Varying Coefficient Model : Non-asymptotic Minimax Study
The objective of the present paper is to develop a minimax theory for the varying coefficient model in a non-asymptotic setting. We consider a high- dimensional sparse varying coefficient model where only few of the covariates are present and only some of those covariates are time dependent. Our analysis allows the time dependent covariates to have different degrees of smoothness and to be spatially inhomogeneous. We develop the minimax lower bounds for the quadratic risk and construct an adaptive estimator which attains those lower bounds within a constant (if all time-dependent covariates are spatially homogeneous) or logarithmic factor of the number of observations.
|Date of creation:||Dec 2013|
|Contact details of provider:|| Postal: 15 Boulevard Gabriel Peri 92245 Malakoff Cedex|
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lukas Meier & Sara van de Geer & Peter Bühlmann, 2008. "The group lasso for logistic regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 53-71.
- Jianhua Z. Huang & Haipeng Shen, 2004. "Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(4), pages 515-534.
- Jianhua Z. Huang, 2002. "Varying-coefficient models and basis function approximations for the analysis of repeated measurements," Biometrika, Biometrika Trust, vol. 89(1), pages 111-128, March.
- Li, Gaorong & Xue, Liugen & Lian, Heng, 2011. "Semi-varying coefficient models with a diverging number of components," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1166-1174, August.
- Arnak Dalalyan & Yuri Ingster & Alexandre B. Tsybakov, 2012. "Statistical Inference in Compound Functional Models," Working Papers 2012-20, Centre de Recherche en Economie et Statistique.
- Wang, Lan & Kai, Bo & Li, Runze, 2009. "Local Rank Inference for Varying Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1631-1645.
- Yang, Lijian & Park, Byeong U. & Xue, Lan & Hardle, Wolfgang, 2006.
"Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration,"
Journal of the American Statistical Association,
American Statistical Association, vol. 101, pages 1212-1227, September.
- Yang, Lijian & Härdle, Wolfgang & Park, Byeong U., 2002. "Estimation and testing for varying coefficients in additive models with marginal integration," SFB 373 Discussion Papers 2002,75, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lijian Yang & Byeong U. Park & Lan Xue & Wolfgang Härdle, 2005. "Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration," SFB 649 Discussion Papers SFB649DP2005-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- ÅžentÃ¼rk, Damla & MÃ¼ller, Hans-Georg, 2010. "Functional Varying Coefficient Models for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1256-1264.
- Karim Lounici & Massimiliano Pontil & Alexandre B. Tsybakov & Sara Van De Geer, 2010. "Oracle Inequalities and Optimal Inference under Group Sparsity," Working Papers 2010-35, Centre de Recherche en Economie et Statistique.
- Ming Yuan & Yi Lin, 2006. "Model selection and estimation in regression with grouped variables," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(1), pages 49-67. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2013-30. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry)
If references are entirely missing, you can add them using this form.