Electronic Journal of Statistics

Local linear smoothing for sparse high dimensional varying coefficient models

Eun Ryung Lee and Enno Mammen

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Varying coefficient models are useful generalizations of parametric linear models. They allow for parameters that depend on a covariate or that develop in time. They have a wide range of applications in time series analysis and regression. In time series analysis they have turned out to be a powerful approach to infer on behavioral and structural changes over time. In this paper, we are concerned with high dimensional varying coefficient models including the time varying coefficient model. Most studies in high dimensional nonparametric models treat penalization of series estimators. On the other side, kernel smoothing is a well established, well understood and successful approach in nonparametric estimation, in particular in the time varying coefficient model. But not much has been done for kernel smoothing in high-dimensional models. In this paper we will close this gap and we develop a penalized kernel smoothing approach for sparse high-dimensional models. The proposed estimators make use of a novel penalization scheme working with kernel smoothing. We establish a general and systematic theoretical analysis in high dimensions. This complements recent alternative approaches that are based on basis approximations and that allow more direct arguments to carry over insights from high-dimensional linear models. Furthermore, we develop theory not only for regression with independent observations but also for local stationary time series in high-dimensional sparse varying coefficient models. The development of theory for local stationary processes in a high-dimensional setting creates technical challenges. We also address issues of numerical implementation and of data adaptive selection of tuning parameters for penalization.The finite sample performance of the proposed methods is studied by simulations and it is illustrated by an empirical analysis of NASDAQ composite index data.

Article information

Electron. J. Statist. Volume 10, Number 1 (2016), 855-894.

Received: July 2015
First available in Project Euclid: 6 April 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43] 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43]
Secondary: 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43]

Sparse estimation local stationary time series high-dimensional data local stationarity time varying coefficient models kernel method local linear method penalized methods BIC oracle inequality oracle property partially linear varying coefficient model semiparametric model consistent structural identification second order cone programming


Lee, Eun Ryung; Mammen, Enno. Local linear smoothing for sparse high dimensional varying coefficient models. Electron. J. Statist. 10 (2016), no. 1, 855--894. doi:10.1214/16-EJS1110. https://projecteuclid.org/euclid.ejs/1459967425.

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