Frontiers of Mathematics in China >
Variable selection for single-index varying-coefficient model
Received date: 29 Jun 2012
Accepted date: 17 Jan 2013
Published date: 01 Jun 2013
Copyright
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.
Sanying FENG , Liugen XUE . Variable selection for single-index varying-coefficient model[J]. Frontiers of Mathematics in China, 2013 , 8(3) : 541 -565 . DOI: 10.1007/s11464-013-0284-z
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