Chu, Jianghao; Lee, Tae-Hwy; Ullah, Aman - In: Topics in identification, limited dependent variables, …, (pp. 65-88). 2019
In this chapter we consider the “Regularization of Derivative Expectation Operator” (Rodeo) of Lafferty and Wasserman (2008) and propose a modified Rodeo algorithm for semiparametric single index models (SIMs) in big data environment with many regressors. The method assumes sparsity that...
