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

DOI10.1080/03610918.2016.1259477MaRDI QIDQ5084730zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

variable selectionadditive modelsadaptive LASSOGCVgroup LASSOorthogonal series approximation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• From Stein's unbiased risk estimates to the method of generalized cross- validation
• Least angle regression. (With discussion)
• Model Selection and Estimation in Regression with Grouped Variables
• Nonlinear Time Series
• One-step sparse estimates in nonconcave penalized likelihood models
• Semiparametric Regression Smoothing of Non-linear Time Series
• The Adaptive Lasso and Its Oracle Properties
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection in nonparametric additive models
• Varying coefficient models for data with auto-correlated error process

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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