Variable Selection of Partially Linear Single-index Models |
| |
| Authors: | L U Yi-qiang HU Bin |
| |
| Institution: | Institute of Cryptography and Engineering, the PLA Information Engineering University Zhengzhou450000, China |
| |
| Abstract: | In this article, we study the variable selection of partially linear single-index model(PLSIM). Based on the minimized average variance estimation, the variable selection of PLSIM is done by minimizing average variance with adaptive l1 penalty. Implementation algorithm is given. Under some regular conditions, we demonstrate the oracle properties of aLASSO procedure for PLSIM. Simulations are used to investigate the effectiveness of the proposed method for variable selection of PLSIM. |
| |
| Keywords: | |
| 本文献已被 CNKI 维普 等数据库收录！ |
|
