The Annals of Statistics

Doubly penalized estimation in additive regression with high-dimensional data

Zhiqiang Tan and Cun-Hui Zhang

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Abstract

Additive regression provides an extension of linear regression by modeling the signal of a response as a sum of functions of covariates of relatively low complexity. We study penalized estimation in high-dimensional nonparametric additive regression where functional semi-norms are used to induce smoothness of component functions and the empirical $L_{2}$ norm is used to induce sparsity. The functional semi-norms can be of Sobolev or bounded variation types and are allowed to be different amongst individual component functions. We establish oracle inequalities for the predictive performance of such methods under three simple technical conditions: a sub-Gaussian condition on the noise, a compatibility condition on the design and the functional classes under consideration and an entropy condition on the functional classes. For random designs, the sample compatibility condition can be replaced by its population version under an additional condition to ensure suitable convergence of empirical norms. In homogeneous settings where the complexities of the component functions are of the same order, our results provide a spectrum of minimax convergence rates, from the so-called slow rate without requiring the compatibility condition to the fast rate under the hard sparsity or certain $L_{q}$ sparsity to allow many small components in the true regression function. These results significantly broaden and sharpen existing ones in the literature.

Article information

Source
Ann. Statist., Volume 47, Number 5 (2019), 2567-2600.

Dates
Received: April 2017
Revised: July 2018
First available in Project Euclid: 3 August 2019

Permanent link to this document
https://projecteuclid.org/euclid.aos/1564797857

Digital Object Identifier
doi:10.1214/18-AOS1757

Mathematical Reviews number (MathSciNet)
MR3988766

Zentralblatt MATH identifier
07114922

Subjects
Primary: 62E20: Asymptotic distribution theory 62F25: Tolerance and confidence regions 62F35: Robustness and adaptive procedures
Secondary: 62J05: Linear regression 62J12: Generalized linear models

Keywords
Additive model bounded variation space ANOVA model high-dimensional data metric entropy penalized estimation teproducing kernel Hilbert space Sobolev space total variation trend filtering

Citation

Tan, Zhiqiang; Zhang, Cun-Hui. Doubly penalized estimation in additive regression with high-dimensional data. Ann. Statist. 47 (2019), no. 5, 2567--2600. doi:10.1214/18-AOS1757. https://projecteuclid.org/euclid.aos/1564797857


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Supplemental materials

  • Supplement to “Doubly penalized estimation in additive regression with high-dimensional data”. We provide proofs and technical tools.