MARS via LASSO

MARS is a popular method for nonparametric regression proposed by Friedman in 1991. MARS fits simple nonlinear and non-additive functions to regression data. We propose and study a natural LASSO variant of the MARS method. Our method is based on least squares estimation over a convex class of functions obtained by considering infinite-dimensional linear combinations of functions in the MARS basis and putting a variation based complexity constraint. Our method is naturally connected to nonparametric function estimation methods under smoothness constraints. Under natural design assumptions, we prove that our estimator achieves a rate of convergence that depends only logarithmically on dimension and thus avoids the usual curse of dimensionality to some extent. This is joint work with Dohyeong Ki and Billy Fang.

• Speaker: Aditya Guntuboyina (UC Berkeley)
• Friday 29 October 2021, 16:00–17:00
• Venue: https://maths-cam-ac-uk.zoom.us/j/93998865836?pwd=VzVzN1VFQ0xjS3VDdlY0enBVckY5dz09.
• Series: Statistics; organiser: Qingyuan Zhao.