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Zbl 1171.62026
Zhao, Peixin; Xue, Liugen
Variable selection for semiparametric varying coefficient partially linear models. (English)
[J] Stat. Probab. Lett. 79, No. 20, 2148-2157 (2009). ISSN 0167-7152

Summary: 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.

MSC 2000:: *62G08 Nonparametric regression
62G20 Nonparametric asymptotic efficiency
65C05 Monte Carlo methods

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Zentralblatt MATH Berlin [Germany]