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The Partial Linear Model in High Dimensions
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Journal Article
The Partial Linear Model in High Dimensions
2015
Overview
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 least absolute shrinkage and selection operator penalty for the linear part and a smoothness penalty for the nonparametric part.
Publisher
Blackwell Publishing Ltd,Wiley Publishing
