Semiparametric regression models with additive nonparametric components and high dimensional parametric components

Pang Du, Guang Cheng and Hua Liang

Computational Statistics & Data Analysis, 2012, vol. 56, issue 6, 2006-2017

Abstract: This paper concerns semiparametric regression models with additive nonparametric components and high dimensional parametric components under sparsity assumptions. To achieve simultaneous model selection for both nonparametric and parametric parts, we introduce a penalty that combines the adaptive empirical L2-norms of the nonparametric component functions and the SCAD penalty on the coefficients in the parametric part. We use the additive partial smoothing spline estimate as the initial estimate and establish its convergence rate with diverging dimensions of parametric components. Our simulation studies reveal excellent model selection performance of the proposed method. An application to an economic study on Canadian household gasoline consumption reveals interesting results.

Keywords: Additive models; Backfitting; Model selection; Partial smoothing splines; SCAD; Sparsity (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947311004282
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:6:p:2006-2017

DOI: 10.1016/j.csda.2011.12.007

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().