Indexed by:
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:
Reprint Author's Address:
Email:
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
Affiliated Colleges: