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