Model detection and variable selection for mode varying coefficient model
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Publication:2152192
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.
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Cited in
(5)- scientific article; zbMATH DE number 7266882 (Why is no real title available?)
- On model diagnostics using varying coefficient models
- SiZer inference for varying coefficient models
- Optimal subsampling for modal regression in massive data
- Time-weighted nonnegative bridge index-tracking model and its application
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