Variable selection for partially varying coefficient model based on modal regression under high dimensional data

Yafeng Xia, Lirong Zhang and Aiping Zhang

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 1, 232-248

Abstract: In this article, we focus on the variable selection for partially varying coefficient model under high dimensional data. Variable selection is proposed based on modal regression estimation with bridge method. Using the B-spline basic function to approximate the non parametric function, a penalty estimation objective equation is constructed. It establishes and proves that the variable selection methods have oracle property. Numerical simulations tested the performance of the proposed methods in a finite sample and verified the significance of the proposed estimation and the variable selection methods.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:1:p:232-248

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DOI: 10.1080/03610926.2020.1747081

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