Variance estimation for sparse ultra-high dimensional varying coefficient models
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DOI: 10.1080/03610926.2018.1429627
Abstract: ABSTRACT This paper considers the problem of variance estimation for sparse ultra-high dimensional varying coefficient models. We first use B-spline to approximate the coefficient functions, and discuss the asymptotic behavior of a naive two-stage estimator… read more here.
Keywords: estimation sparse; ultra high; coefficient; sparse ultra ... See more keywords