Giordano, Francesco; Lahiri, Soumendra Nath; Parrella, … - Dipartimento di Scienze Economiche e Statistiche … - 2014
Given a nonparametric regression model, we assume that the number of covariates $d\rightarrow\infty$ but only some of these covariates are relevant for the model. Our goal is to identify the relevant covariates and to obtain some information about the structure of the model. We propose a new...