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Author:

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

Indexed by:

Scopus SCIE CSCD

Abstract:

We consider the problem of variable selection for single-index varying-coefficient model, and present a regularized variable selection procedure by combining basis function approximations with SCAD penalty. The proposed procedure simultaneously selects significant covariates with functional coefficients and local significant variables with parametric coefficients. With appropriate selection of the tuning parameters, the consistency of the variable selection procedure and the oracle property of the estimators are established. The proposed method can naturally be applied to deal with pure single-index model and varying-coefficient model. Finite sample performances of the proposed method are illustrated by a simulation study and the real data analysis.

Keyword:

Single-index varying-coefficient model SCAD oracle property 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:

  • 薛留根

    [Xue, Liugen]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China

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Source :

FRONTIERS OF MATHEMATICS IN CHINA

ISSN: 1673-3452

Year: 2013

Issue: 3

Volume: 8

Page: 541-565

ESI Discipline: MATHEMATICS;

JCR Journal Grade:3

CAS Journal Grade:4

Cited Count:

WoS CC Cited Count: 19

SCOPUS Cited Count: 22

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 12

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