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Variable selection for fixed effects varying coefficient models |
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| Authors: | Gao Rong Li Heng Lian Peng Lai Heng Peng |
| Affiliation: | 1. Beijing Center for Scientific and Engineering Computing, College of Applied Sciences, Beijing University of Technology, Beijing, 100124, P. R. China 2. School of Mathematics and Statistics, The University of New South, Wales, 2052, Australia 3. School of Mathematics & Statistics, Nanjing University of Information Science & Technology, Nanjing, 210044, P. R. China 4. Department of Mathematics, Hong Kong Baptist University, Hong Kong, P. R. China |
| Abstract: | We consider the problem of variable selection for the fixed effects varying coefficient models.A variable selection procedure is developed using basis function approximations and group nonconcave penalized functions, and the fixed effects are removed using the proper weight matrices. The proposed procedure simultaneously removes the fixed individual effects, selects the significant variables and estimates the nonzero coefficient functions. With appropriate selection of the tuning parameters, an asymptotic theory for the resulting estimates is established under suitable conditions. Simulation studies are carried out to assess the performance of our proposed method, and a real data set is analyzed for further illustration. |
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