Title of article :
Model structure selection in single-index-coefficient regression models
Author/Authors :
Huang، نويسنده , , Zhensheng and Pang، نويسنده , , Zhen and Lin، نويسنده , , Bingqing and Shao، نويسنده , , Quanxi، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2014
Pages :
17
From page :
159
To page :
175
Abstract :
Single-index-coefficient regression models (SICRM) have been proposed and used in the literature for avoiding the “curse of dimensionality”. However, there is no efficient model structure determination methodology for the SICRM. This may cause a tendency to use models that are much larger than required. In this paper, we propose a new procedure for model structure determination in the SICRM; that is, the penalized estimating equations (PEE) for variable selection that combines the “delete-one-component” method and the smoothly clipped absolute deviation penalty. The proposed PEE method can simultaneously identify significant variables of the index and estimate the nonzero coefficients of the index parameters. We also further study testing for nonparametric index-coefficient functions. Asymptotic properties for the proposed estimation procedure have been established. Under the appropriate conditions, we demonstrate that the proposed estimators have the oracle properties. Monte Carlo simulation studies are conducted to assess the finite sample performance of the proposed methods. A real example is analyzed as an illustration.
Keywords :
Penalized estimating equations (PEE) , single-index models , Varying coefficient models , variable selection , Delete-one-component method , Goodness-of-fit test
Journal title :
Journal of Multivariate Analysis
Serial Year :
2014
Journal title :
Journal of Multivariate Analysis
Record number :
1566636
Link To Document :
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