A robust penalized estimation for identification in semiparametric additive models

Jing Yang and Hu Yang

Statistics & Probability Letters, 2016, vol. 110, issue C, 268-277

Abstract: Based on the modal regression estimation (Yao et al., 2012) and spline based estimation method, we provide a novel and robust approach to identify nonzero components as well as linear components in semiparametric additive models by applying a two-fold smoothly clipped absolute deviation (Fan and Li, 2001) penalty. The performance of the new method is demonstrated in terms of theoretical and simulation results.

Keywords: Semiparametric additive model; Modal regression; B-spline; SCAD penalty; Robustness (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2015.10.002

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