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The partial linear model in high dimensions

Partial linear models have been widely used as flexible method for modelling linear components in conjunction with non-parametric ones. Despite the presence of the non-parametric part, the linear, parametric part can under certain conditions be estimated with parametric rate. In this paper, we consider a high-dimensional linear part. We show that it can be estimated with oracle rates, using the LASSO penalty for the linear part and a smoothness penalty for the nonparametric part.

preprint2013arXivOpen access
Patric MüllerSara van de Geer
Applicationsmath.STStatistics Theory
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Patric MüllerSara van de Geer

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