Error Variance Estimation in Ultrahigh-Dimensional Additive Models.

ABSTRACT: Error variance estimation plays an important role in statistical inference for high dimensional regression models. This paper concerns with error variance estimation in high dimensional sparse additive model. We study the asymptotic behavior of the traditional mean squared errors, the naive estimate of error variance, and show that it may significantly underestimate the error variance due to spurious correlations which are even higher in nonparametric models than linear models. We further propose an accurate estimate for error variance in ultrahigh dimensional sparse additive model by effectively integrating sure independence screening and refitted cross-validation techniques (Fan, Guo and Hao, 2012). The root n consistency and the asymptotic normality of the resulting estimate are

SUBMITTER: Chen Z 

PROVIDER: S-EPMC6052885 | biostudies-literature | 2018

REPOSITORIES: biostudies-literature