A note on automatic variable selection using smooth-threshold estimating equations

Masao Ueki

Biometrika, 2009, vol. 96, issue 4, 1005-1011

Abstract: This paper develops smooth-threshold estimating equations that can automatically eliminate irrelevant parameters by setting them as zero. The resulting estimator enjoys the oracle property in the sense of Fan & Li (2001), even in estimators for which the covariance assumption of Wang & Leng (2007) is violated, such as the Buckley--James estimator. Furthermore, the estimator can be obtained without solving a convex optimization problem. A bic -type criterion for tuning parameter selection is also proposed. It is shown that the criterion achieves consistent model selection. A numerical study confirms the performance of the method. Copyright 2009, Oxford University Press.

Date: 2009
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