Shrinkage estimation for identification of linear components in additive models |
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Authors: | Heng Lian |
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Institution: | Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore 637371, Singapore |
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Abstract: | In this short paper, we demonstrate that the popular penalized estimation method typically used for variable selection in parametric or semiparametric models can actually provide a way to identify linear components in additive models. Unlike most studies in the literature, we are NOT performing variable selection. Due to the difficulty in a priori deciding which predictors should enter the partially linear additive model as the linear components, such a method will prove useful in practice. |
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Keywords: | Generalized cross-validation Oracle property Partially linear additive models |
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