Variable selection for partially varying coefficient single-index model |
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Authors: | Sanying Feng Liugen Xue |
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Affiliation: | College of Applied Sciences, Beijing University of Technology, Beijing 100124, People's Republic of China |
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Abstract: | In this paper, we consider the problem of variable selection for partially varying coefficient single-index model, and present a regularized variable selection procedure by combining basis function approximations with smoothly clipped absolute deviation penalty. The proposed procedure simultaneously selects significant variables in the single-index parametric components and the nonparametric coefficient function components. With appropriate selection of the tuning parameters, the consistency of the variable selection procedure and the oracle property of the estimators are established. Finite sample performance of the proposed method is illustrated by a simulation study and real data analysis. |
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Keywords: | varying coefficient model single-index model variable selection SCAD oracle property |
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