• Corpus ID: 238744091

High-Dimensional Varying Coefficient Models with Functional Random Effects

@inproceedings{Law2021HighDimensionalVC,
  title={High-Dimensional Varying Coefficient Models with Functional Random Effects},
  author={Michael Law and Yaacov Ritov},
  year={2021}
}
We consider a sparse high-dimensional varying coefficients model with random effects, a flexible linear model allowing covariates and coefficients to have a functional dependence with time. For each individual, we observe discretely sampled responses and covariates as a function of time as well as time invariant covariates. Under sampling times that are either fixed and common or random and independent amongst individuals, we propose a projection procedure for the empirical estimation of all… 

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