Variable Selection and Estimation in High-dimensional Varying-coefficient Models.

@article{Wei2011VariableSA,
  title={Variable Selection and Estimation in High-dimensional Varying-coefficient Models.},
  author={Fengrong Wei and Jian Huang and Hongzhe Li},
  journal={Statistica Sinica},
  year={2011},
  volume={21 4},
  pages={1515-1540}
}
Nonparametric varying coefficient models are useful for studying the time-dependent effects of variables. Many procedures have been developed for estimation and variable selection in such models. However, existing work has focused on the case when the number of variables is fixed or smaller than the sample size. In this paper, we consider the problem of variable selection and estimation in varying coefficient models in sparse, high-dimensional settings when the number of variables can be larger… CONTINUE READING
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