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Abstract:
In this paper, we consider the problem of variable selection for partially varying coefficient single-index model, and present a regularized variable selection procedure by combining basis function approximations with smoothly clipped absolute deviation penalty. The proposed procedure simultaneously selects significant variables in the single-index parametric components and the nonparametric coefficient function components. With appropriate selection of the tuning parameters, the consistency of the variable selection procedure and the oracle property of the estimators are established. Finite sample performance of the proposed method is illustrated by a simulation study and real data analysis.
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JOURNAL OF APPLIED STATISTICS
ISSN: 0266-4763
Year: 2013
Issue: 12
Volume: 40
Page: 2637-2652
1 . 5 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
JCR Journal Grade:4
CAS Journal Grade:4
Cited Count:
WoS CC Cited Count: 6
SCOPUS Cited Count: 7
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 7
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