Robust estimation and wavelet thresholding in partially linear models
Statistics and Computing
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In this paper, we consider modeling the nonparametric component in partially linear models (PLMs) using linear sparse representations, e.g., wavelet expansions. Two types of representations are investigated, namely, orthogonal bases (complete) and redundant overcomplete expansions. For bases, we introduce a regularized estimator of the nonparametric part. The important contribution here is that the nonparametric part can be parsimoniously estimated by choosing an appropriate penalty function for which the hard and soft thresholding estimators are special cases. This allows us to represent in an effective manner a broad class of signals, including stationary and/or nonstationary signals and avoids excessive bias in estimating the parametric component. We also give a fast estimation algorithm. The method is then generalized to handle the case of overcomplete representations. A large-scale simulation study is conducted to illustrate the finite sample properties of the estimator. The estimator is finally applied to real neurophysiological functional magnetic resonance imaging (MRI) data sets that are suspected to contain both smooth and transient drift features.