Sparse High-dimensional Varying Coefficient Model: Non-asymptotic Minimax Study

Olga Klopp () and Marianna Pensky
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Olga Klopp: CREST and University Paris- Nanterre
Marianna Pensky: University of Central Florida

No 2013-30, Working Papers from Center for Research in Economics and Statistics

Abstract: The objective of the present paper is to develop a minimax theory for the varying coefficient model in a non-asymptotic setting. We consider a high- dimensional sparse varying coefficient model where only few of the covariates are present and only some of those covariates are time dependent. Our analysis allows the time dependent covariates to have different degrees of smoothness and to be spatially inhomogeneous. We develop the minimax lower bounds for the quadratic risk and construct an adaptive estimator which attains those lower bounds within a constant (if all time-dependent covariates are spatially homogeneous) or logarithmic factor of the number of observations.

Keywords: varying coefficient model; sparse model; minimax optimality (search for similar items in EconPapers)
Pages: 24
Date: 2013-12
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