High-Dimensional Varying Coefficient Models with Functional Random Effects
Statistics Theory
2021-10-14 v1 Statistics Theory
Abstract
We consider a sparse high-dimensional varying coefficients model with random effects, a flexible linear model allowing covariates and coefficients to have a functional dependence with time. For each individual, we observe discretely sampled responses and covariates as a function of time as well as time invariant covariates. Under sampling times that are either fixed and common or random and independent amongst individuals, we propose a projection procedure for the empirical estimation of all varying coefficients. We extend this estimator to construct confidence bands for a fixed number of varying coefficients.
Cite
@article{arxiv.2110.06426,
title = {High-Dimensional Varying Coefficient Models with Functional Random Effects},
author = {Michael Law and Ya'acov Ritov},
journal= {arXiv preprint arXiv:2110.06426},
year = {2021}
}