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Variable selection for semiparametric varying coefficient partially linear models. (English) Zbl 1171.62026
Summary: We present a variable selection procedure by combining basis function approximations with SCAD penalty for semiparametric varying coefficient partially linear models. The proposed procedure simultaneously selects significant variables in the parametric components and the nonparametric components. With appropriate selection of the tuning parameters, we establish the consistency of this procedure and the oracle property of the regularized estimators. A simulation study is undertaken to assess the finite sample performance of the proposed variable selection procedure.
62G08Nonparametric regression
62G20Nonparametric asymptotic efficiency
65C05Monte Carlo methods
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