Model detection and variable selection for mode varying coefficient model

DOI10.1007/S10260-021-00576-4zbMATH Open1490.62191arXiv2009.10291OpenAlexW3173983465MaRDI QIDQ2152192FDOQ2152192

Xue-Jun Ma, Yue Du, Jingli Wang

Publication date: 7 July 2022

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Abstract: Varying coefficient model is often used in statistical modeling since it is more flexible than the parametric model. However, model detection and variable selection of varying coefficient model are poorly understood in mode regression. Existing methods in the literature for these problems often based on mean regression and quantile regression. In this paper, we propose a novel method to solve these problems for mode varying coefficient model based on the B-spline approximation and SCAD penalty. Moreover, we present a new algorithm to estimate the parameters of interest, and discuss the parameters selection for the tuning parameters and bandwidth. We also establish the asymptotic properties of estimated coefficients under some regular conditions. Finally, we illustrate the proposed method by some simulation studies and an empirical example.

Full work available at URL: https://arxiv.org/abs/2009.10291

zbMATH Keywords

variable selectionB-splinemodel detectionSCAD penaltymode regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (4)

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• Time-weighted nonnegative bridge index-tracking model and its application

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