Shixiang Liu

Minimax-Optimal Univariate Function Selection in Sparse Additive Models: Rates, Adaptation, and the Estimation-Selection Gap

The sparse additive model (SpAM) offers a trade-off between interpretability and flexibility, and hence is a powerful model for high-dimensional research. This paper focuses on the variable selection, i.e., the univariate function selection problem in SpAM. We establish the minimax separation rates…