部分线性单指标模型的变量选择

doi:10.13371/j.cnki.chin.q.j.m.2014.03.009

数学季刊 ›› 2014, Vol. 29 ›› Issue (3): 392-399.doi: 10.13371/j.cnki.chin.q.j.m.2014.03.009

部分线性单指标模型的变量选择

Institute of Cryptography and Engineering, the PLA Information Engineering University

收稿日期:2013-04-24 出版日期:2014-09-30 发布日期:2020-11-30
作者简介:LU Yi-qiang(1971-), male, native of Jiyuan, Henan, a professor of the PLA Information Engineering University, Ph.D., engages in the mathematical statistics.
基金资助:
Supported by the NNSF of China(61272041)；

Variable Selection of Partially Linear Single-index Models

Institute of Cryptography and Engineering, the PLA Information Engineering University

Received:2013-04-24 Online:2014-09-30 Published:2020-11-30
About author:LU Yi-qiang(1971-), male, native of Jiyuan, Henan, a professor of the PLA Information Engineering University, Ph.D., engages in the mathematical statistics.
Supported by:
Supported by the NNSF of China(61272041)；

摘要/Abstract

摘要： In this article, we study the variable selection of partially linear single-index model（PLSIM）. Based on the minimized average variance estimation, the variable selection of PLSIM is done by minimizing average variance with adaptive l1 penalty. Implementation algorithm is given. Under some regular conditions, we demonstrate the oracle properties of aLASSO procedure for PLSIM. Simulations are used to investigate the effectiveness of the proposed method for variable selection of PLSIM.

关键词: variable selection, adaptive LASSO, minimized average variance estimation(MAVE), partially linear single-index model

Abstract: In this article, we study the variable selection of partially linear single-index model（PLSIM）. Based on the minimized average variance estimation, the variable selection of PLSIM is done by minimizing average variance with adaptive l1 penalty. Implementation algorithm is given. Under some regular conditions, we demonstrate the oracle properties of aLASSO procedure for PLSIM. Simulations are used to investigate the effectiveness of the proposed method for variable selection of PLSIM.

Key words: variable selection, adaptive LASSO, minimized average variance estimation(MAVE), partially linear single-index model

中图分类号:

O212

卢一强, 胡斌. 部分线性单指标模型的变量选择[J]. 数学季刊, 2014, 29(3): 392-399.

LU Yi-qiang, HU Bin. Variable Selection of Partially Linear Single-index Models[J]. Chinese Quarterly Journal of Mathematics, 2014, 29(3): 392-399.

部分线性单指标模型的变量选择

Variable Selection of Partially Linear Single-index Models

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