Two-step variable selection in partially linear additive models with time series data

DOI10.1080/03610918.2016.1259477OpenAlexW2550458737MaRDI QIDQ5084730FDOQ5084730

Authors: Mu Feng, Zhao Chen, Ximing Cheng 

Publication date: 28 June 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1259477

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zbMATH Keywords

variable selectionadditive modelsadaptive LASSOGCVgroup LASSOorthogonal series approximation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• One-step sparse estimates in nonconcave penalized likelihood models
• Model Selection and Estimation in Regression with Grouped Variables
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Variable selection in nonparametric additive models
• Nonlinear Time Series
• Varying coefficient models for data with auto-correlated error process
• From Stein's unbiased risk estimates to the method of generalized cross- validation
• Semiparametric Regression Smoothing of Non-linear Time Series

Cited In (2)

• SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
• Asymptotics of estimators for nonparametric multivariate regression models with long memory

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