Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152908 | Statistics & Probability Letters | 2009 | 10 Pages |
Abstract
In this paper, we present a variable selection procedure by combining basis function approximations with SCAD penalty for semiparametric varying coefficient partially linear models. 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 consistency of this procedure and the oracle property of the regularized estimators. A simulation study is undertaken to assess the finite sample performance of the proposed variable selection procedure.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Peixin Zhao, Liugen Xue,