Ӧ�ø���ͳ�� 2011, 27(2) 172-182 DOI:      ISSN: 1001-4268 CN: 31-1256

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Variable Selection and Estimation in High-Dimensional
Partially Linear Models
Yang Yiping,Xue Liugen
Abstract:

In this paper, we propose an approach for
achieving simultaneously variable selection and estimation for the
linear and nonparametric components in high-dimensional partially
linear models. We use Dantzig selector, applied to the linear part
and various derivatives of nonparametric component, to achieve
sparsity in the linear part and produce nonparametric estimators.
Non-asymptotic theoretical bounds on the estimator error are
obtained. The finite sample properties of the proposed approach are
investigated through a simulation study

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