Using thresholding difference-based estimators for variable selection in partial linear models

June Luo and Patrick Gerard

Statistics & Probability Letters, 2013, vol. 83, issue 12, 2601-2606

Abstract: A commonly used semiparametric model is considered. We adopt two difference based estimators of the linear component of the model and propose corresponding thresholding estimators that can be used for variable selection. For each thresholding estimator, variable selection in the linear component is developed and consistency of the variable selection procedure is shown. We evaluate our method in a simulation study and implement it on a real data set.

Keywords: Semi-parametric model; Differencing method; Asymptotic; High dimension; Variable selection (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.08.011

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