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Variable selection in infinite-dimensional problems

Germán Aneiros and Philippe Vieu

Statistics & Probability Letters, 2014, vol. 94, issue C, 12-20

Abstract: This paper is on regression models when the explanatory variable is a function. The question is to look for which among the pn discretized values of the function must be incorporated in the model. The aim of the paper is to show how the continuous structure of the data allows to develop new specific variable selection procedures, which improve the rates of convergence of the estimated parameters and need much less restrictive assumptions on pn.

Keywords: Functional data analysis; Variable selection; High-dimensional problem; Partitioning variable selection procedure (search for similar items in EconPapers)
Date: 2014
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