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Author:

Feng, Sanying (Feng, Sanying.) | Xue, Liugen (Xue, Liugen.) (Scholars:薛留根)

Indexed by:

Scopus SCIE

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.

Keyword:

SCAD oracle property single-index model varying coefficient model variable selection

Author Community:

  • [ 1 ] [Feng, Sanying]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 2 ] [Xue, Liugen]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China

Reprint Author's Address:

  • [Feng, Sanying]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China

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Source :

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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