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Type: 
Journal
Description: 
We study sparse high dimensional additive model fitting via penalization with sparsity-smoothness penalties. We review several existing algorithms that have been developed for this problem in the recent literature, highlighting the connections between them, and present some computationally efficient algorithms for fitting such models. Furthermore, using reasonable assumptions and exploiting recent results on group LASSO-like procedures, we take advantage of several oracle results which yield asymptotic optimality of estimators for high-dimensional but sparse additive models. Finally, variable selection procedures are compared with some high-dimensional testing procedures available in the literature for testing the presence of additive components.
Publisher: 
Springer Berlin Heidelberg
Publication date: 
1 Nov 2016
Authors: 

Umberto Amato, Anestis Antoniadis, Italia De Feis

Biblio References: 
Volume: 25 Issue: 4 Pages: 519-564
Origin: 
Statistical Methods & Applications