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Abstract:
We consider the problem of variable selection for the fixed effects varying coefficient models. A variable selection procedure is developed using basis function approximations and group nonconcave penalized functions, and the fixed effects are removed using the proper weight matrices. The proposed procedure simultaneously removes the fixed individual effects, selects the significant variables and estimates the nonzero coefficient functions. With appropriate selection of the tuning parameters, an asymptotic theory for the resulting estimates is established under suitable conditions. Simulation studies are carried out to assess the performance of our proposed method, and a real data set is analyzed for further illustration.
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Source :
ACTA MATHEMATICA SINICA-ENGLISH SERIES
ISSN: 1439-8516
Year: 2015
Issue: 1
Volume: 31
Page: 91-110
0 . 7 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
ESI HC Threshold:82
JCR Journal Grade:4
CAS Journal Grade:4
Cited Count:
WoS CC Cited Count: 12
SCOPUS Cited Count: 16
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 2
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