Forward Variable Selection for Sparse Ultra-High Dimensional Generalized Varying Coefficient Models

Toshio Honda, 敏雄 本田 and Chien-Tong Lin

No 2020-01, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: B-spline basis; forward procedure; maximum likelihood; screening consistency; stopping rule; varying coefficient model (search for similar items in EconPapers)
Pages: 67 pages
Date: 2020-02
New Economics Papers: this item is included in nep-ecm
Note: First version : January 2020 / This version : February 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2020-01

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