CNR ExploRA

Articolo in rivista, 2022, ENG, 10.1007/s11222-021-10065-z

Wavelet-based robust estimation and variable selection in nonparametric additive models

Amato, Umberto; Antoniadis, Anestis; De Feis, Italia; Gijbels, Irene

CNR; Univ Grenoble Alpes; Univ Cape Town; CNR; Katholieke Univ Leuven; Katholieke Univ Leuven

This article studies M-type estimators for fitting robust additive models in the presence of anomalous data. The components in the additive model are allowed to have different degrees of smoothness. We introduce a new class of wavelet-based robust M-type estimators for performing simultaneous additive component estimation and variable selection in such inhomogeneous additive models. Each additive component is approximated by a truncated series expansion of wavelet bases, making it feasible to apply the method to nonequispaced data and sample sizes that are not necessarily a power of 2. Sparsity of the additive components together with sparsity of the wavelet coefficients within each component (group), results into a bi-level group variable selection problem. In this framework, we discuss robust estimation and variable selection. A two-stage computational algorithm, consisting of a fast accelerated proximal gradient algorithm of coordinate descend type, and thresholding, is proposed. When using nonconvex redescending loss functions, and appropriate nonconvex penalty functions at the group level, we establish optimal convergence rates of the estimates. We prove variable selection consistency under a weak compatibility condition for sparse additive models. The theoretical results are complemented with some simulations and real data analysis, as well as a comparison to other existing methods.

Statistics and computing 32 (1)