Improvement on LASSO-type estimator in nonparametric regression
Improvement on LASSO-type estimator in nonparametric regression
This paper is concerned with nonparametric regression with multi-dimensional, possibly high-dimensional, explanatory variables. A new ℓ1-penalisation approach is proposed on the basis of the idea of slicing off waste restriction. The new approach can implement the variable selection and estimate the regression function simultaneously. The approach also develops the consistency …