Rodeo: Sparse Nonparametric Regression in High Dimensions

Larry Wasserman


  We present a method for simultaneously performing bandwidth selection and variable selection in nonparametric regression. The method starts with a local linear estimator with large bandwidths, and incrementally decreases the bandwidth in directions where the gradient of the estimator with respect to bandwidth is large. When the unknown function satisfies a sparsity condition, the approach avoids the curse of dimensionality. The method---called rodeo(regularization of derivative expectation operator)---conducts a sequence of hypothesis tests, and is easy to implement. A modified version that replaces testing with soft thresholding may be viewed as solving a sequence of lasso problems. When applied in one dimension, the rodeo yields a method for choosing the locally optimal bandwidth.
Joint work with John Lafferty.

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Pradeep Ravikumar
Last modified: Fri Mar 31 00:50:20 EST 2006