Estimation and Uniform Inference in Sparse High-Dimensional Additive Models

Philipp Bach, Sven Klaassen, Jannis Kueck +1

We develop a novel method to construct uniformly valid confidence bands for a nonparametric component $f_1$ in the sparse additive model $Y=f_1(X_1)+\ldots + f_p(X_p) + \varepsilon…