部分线性单指标模型的变量选择

卢一强, 胡斌

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

数学季刊 >

2014 , Vol. 29 >Issue 3: 392 - 399

DOI: https://doi.org/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

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Institute of Cryptography and Engineering, the PLA Information Engineering University

LU Yi-qiang(1971-), male, native of Jiyuan, Henan, a professor of the PLA Information Engineering University, Ph.D., engages in the mathematical statistics.

收稿日期: 2013-04-24

网络出版日期: 2020-11-30

基金资助

Supported by the NNSF of China(61272041)；

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Variable Selection of Partially Linear Single-index Models

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Institute of Cryptography and Engineering, the PLA Information Engineering University

LU Yi-qiang(1971-), male, native of Jiyuan, Henan, a professor of the PLA Information Engineering University, Ph.D., engages in the mathematical statistics.

Received date: 2013-04-24

Online published: 2020-11-30

Supported by

Supported by the NNSF of China(61272041)；

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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

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

Abstract

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

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