Shrinkage estimation for identification of linear components in additive models

Heng Lian

Statistics & Probability Letters, 2012, vol. 82, issue 2, 225-231

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.

Keywords: Generalized cross-validation; Oracle property; Partially linear additive models (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2011.10.009

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