The Partial Linear Model in High Dimensions

Patric Müller and Sara Geer

Scandinavian Journal of Statistics, 2015, vol. 42, issue 2, 580-608

Abstract: type="main" xml:id="sjos12124-abs-0001"> Partial linear models have been widely used as flexible method for modelling linear components in conjunction with non-parametric ones. Despite the presence of the non-parametric part, the linear, parametric part can under certain conditions be estimated with parametric rate. In this paper, we consider a high-dimensional linear part. We show that it can be estimated with oracle rates, using the least absolute shrinkage and selection operator penalty for the linear part and a smoothness penalty for the nonparametric part.

Date: 2015
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