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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2412.13468 |
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| _version_ | 1866909432345001984 |
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| author | Han, Lijuan Xue, Liugen Xie, Junshan |
| author_facet | Han, Lijuan Xue, Liugen Xie, Junshan |
| contents | This paper focuses on variable selection for a partially linear single-index varying-coefficient model. A regularized variable selection procedure by combining basis function approximations with SCAD penalty is proposed. It can simultaneously select significant variables in the parametric and nonparametric components and estimate the nonzero regression coefficients and coefficient functions. The consistency of the variable selection procedure and the oracle property of the penalized least-squares estimators for high-dimensional data are established. Some simulations and the real data analysis are constructed to illustrate the finite sample performances of the proposed method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_13468 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Variable selection for partially linear single-index varying-coefficient model Han, Lijuan Xue, Liugen Xie, Junshan Statistics Theory This paper focuses on variable selection for a partially linear single-index varying-coefficient model. A regularized variable selection procedure by combining basis function approximations with SCAD penalty is proposed. It can simultaneously select significant variables in the parametric and nonparametric components and estimate the nonzero regression coefficients and coefficient functions. The consistency of the variable selection procedure and the oracle property of the penalized least-squares estimators for high-dimensional data are established. Some simulations and the real data analysis are constructed to illustrate the finite sample performances of the proposed method. |
| title | Variable selection for partially linear single-index varying-coefficient model |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2412.13468 |