Variable selection for semiparametric varying coefficient partially linear model based on modal regression with missing data

Yafeng Xia, Yarong Qu and Nailing Sun

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 20, 5121-5137

Abstract: In this article, we focus on the variable selection for semiparametric varying coefficient partially linear model with response missing at random. Variable selection is proposed based on modal regression, where the non parametric functions are approximated by B-spline basis. The proposed procedure uses SCAD penalty to realize variable selection of parametric and nonparametric components simultaneously. Furthermore, we establish the consistency, the sparse property and asymptotic normality of the resulting estimators. The penalty estimation parameters value of the proposed method is calculated by EM algorithm. Simulation studies are carried out to assess the finite sample performance of the proposed variable selection procedure.

Date: 2019
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DOI: 10.1080/03610926.2018.1508712

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