کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1144542 | 957420 | 2015 | 13 صفحه PDF | دانلود رایگان |
By combining basis function approximations and smoothly clipped absolute deviation (SCAD) penalty, this paper proposes a robust variable selection procedure for a partially varying coefficient single-index model based on modal regression. The proposed procedure simultaneously selects significant variables in the parametric components and the nonparametric components. With appropriate selection of the tuning parameters, we establish the theoretical properties of our procedure, including consistency in variable selection and the oracle property in estimation. Furthermore, we also discuss the bandwidth selection and propose a modified expectation–maximization (EM)-type algorithm for the proposed estimation procedure. The finite sample properties of the proposed estimators are illustrated by some simulation examples.
Journal: Journal of the Korean Statistical Society - Volume 44, Issue 1, March 2015, Pages 45–57