Component selection and smoothing in multivariate nonparametric regression
Component selection and smoothing in multivariate nonparametric regression
We propose a new method for model selection and model fitting in multivariate nonparametric regression models, in the framework of smoothing spline ANOVA. The “COSSO” is a method of regularization with the penalty functional being the sum of component norms, instead of the squared norm employed in the traditional smoothing …