Spline estimator for ultra-high dimensional partially linear varying coefficient models

In this paper, we simultaneously study variable selection and estimation problems for sparse ultra-high dimensional partially linear varying coefficient models, where the number of variables in linear part can grow much faster than the sample size while many coefficients are zeros and the dimension...

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Bibliographic Details
Published in:Annals of the Institute of Statistical Mathematics 2019-06, Vol.71 (3), p.657-677
Main Authors: Wang, Zhaoliang, Xue, Liugen, Li, Gaorong, Lu, Fei
Format: Article
Language:English
Subjects:
Coefficients
Computer simulation
Economic models
Economics
Finance
Insurance
Management
Mathematical models
Mathematics
Mathematics and Statistics
Monte Carlo simulation
Normality
Statistics
Statistics for Business
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Summary:In this paper, we simultaneously study variable selection and estimation problems for sparse ultra-high dimensional partially linear varying coefficient models, where the number of variables in linear part can grow much faster than the sample size while many coefficients are zeros and the dimension of nonparametric part is fixed. We apply the B-spline basis to approximate each coefficient function. First, we demonstrate the convergence rates as well as asymptotic normality of the linear coefficients for the oracle estimator when the nonzero components are known in advance. Then, we propose a nonconvex penalized estimator and derive its oracle property under mild conditions. Furthermore, we address issues of numerical implementation and of data adaptive choice of the tuning parameters. Some Monte Carlo simulations and an application to a breast cancer data set are provided to corroborate our theoretical findings in finite samples.
ISSN:0020-3157
1572-9052
DOI:10.1007/s10463-018-0654-0