Fit two-step estimator for inference in sparse high-dimensional additive models.
This is an R package which accompanies the paper:
Gregory, K., Mammen, E., Wahl, M. (2021). Statistical inference in sparse high-dimensional additive models. Annals of Statistics 49(3), 1514-1536.
Find the paper on the page https://imstat.org/journals-and-publications/annals-of-statistics/annals-of-statistics-future-papers/
See the package documentation and vignette for details. Install with the R commands:
install.packages("devtools")
devtools::install_github("gregorkb/spaddinf")