Sieve

Performs multivariate nonparametric regression/classification by the method of sieves (using orthogonal basis). The method is suitable for moderate high-dimensional features (dimension < 100). The l1-penalized sieve estimator, a nonparametric generalization of Lasso, is adaptive to the feature dimension with provable theoretical guarantees. We also include a nonparametric stochastic gradient descent estimator, Sieve-SGD, for online or large scale batch problems. Details of the methods can be found in: doi:10.48550/arXiv.2206.02994 doi:10.48550/arXiv.2104.00846doi:10.48550/arXiv.2310.12140.

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