Quickly variable selection for varying coefficient models with missing response at random

Jian Wu, Liugen Xue and Peixin Zhao

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 10, 2327-2336

Abstract: This paper focuses on the variable selections for a varying coefficient models with missing response at random. A procedure is presented by basis function approximations with smooth-threshold estimating equations. Furthermore, the proposed method selects significant variables and estimates coefficients simultaneously avoiding the problem of solving a convex optimization, which reduced the burden of computation. Compared to existing equation based approaches, our procedure is more efficient and quick. With proper choices the regularization parameter, the resulting estimates perform an oracle property. A cross-validation for tuning parameter selection is also proposed, a numerical study confirms the performance of the proposed method.

Date: 2018
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DOI: 10.1080/03610926.2014.922989

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