Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6869812 | Computational Statistics & Data Analysis | 2014 | 12 Pages |
Abstract
Separation of the linear and nonlinear components in additive models based on penalized likelihood has received attention recently. However, it remains unknown whether consistent separation is possible in generalized additive models, and how high dimensionality is allowed. In this article, we study the doubly SCAD-penalized approach for partial linear structure identification problems of non-polynomial (NP) dimensionality and demonstrate its oracle property. In particular, if the number of nonzero components is fixed, the dimensionality of the total number of components can be of order exp{nd/(2d+1)} where d is the smoothness of the component functions. Under such dimensionality assumptions, we show that with probability approaching one, the proposed procedure can correctly identify the zero, linear, and nonlinear components in the model. We further establish the convergence rate of the estimator for the nonlinear component and the asymptotic normality of the estimator for the linear component. Performance of the proposed method is evaluated by simulation studies. The methods are demonstrated by analyzing a gene data set.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Heng Lian, Pang Du, YuanZhang Li, Hua Liang,