Sequential profile Lasso for ultra-high-dimensional partially linear models

Yujie Li, Gaorong Li and Tiejun Tong

Statistical Theory and Related Fields, 2017, vol. 1, issue 2, 234-245

Abstract: In this paper, we study ultra-high-dimensional partially linear models when the dimension of the linear predictors grows exponentially with the sample size. For the variable screening, we propose a sequential profile Lasso method (SPLasso) and show that it possesses the screening property. SPLasso can also detect all relevant predictors with probability tending to one, no matter whether the ultra-high models involve both parametric and nonparametric parts. To select the best subset among the models generated by SPLasso, we propose an extended Bayesian information criterion (EBIC) for choosing the final model. We also conduct simulation studies and apply a real data example to assess the performance of the proposed method and compare with the existing method.

Date: 2017
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DOI: 10.1080/24754269.2017.1396432

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