Joint estimation and variable selection for mean and dispersion in proper dispersion models

DOI10.1214/16-EJS1152zbMATH Open1404.62074OpenAlexW2476437382MaRDI QIDQ309529FDOQ309529

Authors: Anestis Antoniadis, Sophie Lambert-Lacroix, Irène Gijbels, Jean-Michel Poggi 

Publication date: 7 September 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1468847266

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zbMATH Keywords

SCADvariable selectionpenalizationBregman divergencestatistical inferenceFisher-orthogonalityproper dispersion models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Cites Work

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Cited In (9)

• Robust Inference and Modeling of Mean and Dispersion for Generalized Linear Models
• On variable selection in joint modeling of mean and dispersion
• Two-piece distribution based semi-parametric quantile regression for right censored data
• Robust joint modeling of mean and dispersion through trimming
• Flexible joint modeling of mean and dispersion for the directional tuning of neuronal spike counts
• A procedure for variable selection in double generalized linear models
• Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution
• Variable selection in joint generalized linear models
• Variable selection in joint mean and dispersion models via double penalized likelihood

Uses Software

• GAMLSS
• S+WAVELETS
• flare

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