Open Access
August 2010 Variable selection in nonparametric additive models
Jian Huang, Joel L. Horowitz, Fengrong Wei
Ann. Statist. 38(4): 2282-2313 (August 2010). DOI: 10.1214/09-AOS781

Abstract

We consider a nonparametric additive model of a conditional mean function in which the number of variables and additive components may be larger than the sample size but the number of nonzero additive components is “small” relative to the sample size. The statistical problem is to determine which additive components are nonzero. The additive components are approximated by truncated series expansions with B-spline bases. With this approximation, the problem of component selection becomes that of selecting the groups of coefficients in the expansion. We apply the adaptive group Lasso to select nonzero components, using the group Lasso to obtain an initial estimator and reduce the dimension of the problem. We give conditions under which the group Lasso selects a model whose number of components is comparable with the underlying model, and the adaptive group Lasso selects the nonzero components correctly with probability approaching one as the sample size increases and achieves the optimal rate of convergence. The results of Monte Carlo experiments show that the adaptive group Lasso procedure works well with samples of moderate size. A data example is used to illustrate the application of the proposed method.

Citation

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Jian Huang. Joel L. Horowitz. Fengrong Wei. "Variable selection in nonparametric additive models." Ann. Statist. 38 (4) 2282 - 2313, August 2010. https://doi.org/10.1214/09-AOS781

Information

Published: August 2010
First available in Project Euclid: 11 July 2010

zbMATH: 1202.62051
MathSciNet: MR2676890
Digital Object Identifier: 10.1214/09-AOS781

Subjects:
Primary: 62G08 , 62G20
Secondary: 62G99

Keywords: adaptive group LASSO , component selection , High-dimensional data , Nonparametric regression , selection consistency

Rights: Copyright © 2010 Institute of Mathematical Statistics

Vol.38 • No. 4 • August 2010
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