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2016 Local linear smoothing for sparse high dimensional varying coefficient models
Eun Ryung Lee, Enno Mammen
Electron. J. Statist. 10(1): 855-894 (2016). DOI: 10.1214/16-EJS1110


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.


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Eun Ryung Lee. Enno Mammen. "Local linear smoothing for sparse high dimensional varying coefficient models." Electron. J. Statist. 10 (1) 855 - 894, 2016.


Received: 1 July 2015; Published: 2016
First available in Project Euclid: 6 April 2016

zbMATH: 1349.62313
MathSciNet: MR3486419
Digital Object Identifier: 10.1214/16-EJS1110

Primary: 60K35, 60K35
Secondary: 60K35

Rights: Copyright © 2016 The Institute of Mathematical Statistics and the Bernoulli Society


Vol.10 • No. 1 • 2016
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