The partial linear model in high dimensions

2013/07/03 by Müller, Patric, van de Geer, Sara
#Applications (stat.AP) #FOS: Computer and information sciences #FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1307.1067

Abstract

Partial linear models have been widely used as flexible method for modelling linear components in conjunction with non-parametric ones. Despite the presence of the non-parametric part, the linear, parametric part can under certain conditions be estimated with parametric rate. In this paper, we consider a high-dimensional linear part. We show that it can be estimated with oracle rates, using the LASSO penalty for the linear part and a smoothness penalty for the nonparametric part.

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