Estimation and variable selection for generalized additive partial linear models

DOI10.1214/11-AOS885zbMATH Open1227.62053arXiv1112.2502OpenAlexW3099400958WikidataQ36461962 ScholiaQ36461962MaRDI QIDQ651013FDOQ651013

Authors: Li Wang, Xiang Liu, Hua Liang, Raymond J. Carroll 

Publication date: 8 December 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We study generalized additive partial linear models, proposing the use of polynomial spline smoothing for estimation of nonparametric functions, and deriving quasi-likelihood based estimators for the linear parameters. We establish asymptotic normality for the estimators of the parametric components. The procedure avoids solving large systems of equations as in kernel-based procedures and thus results in gains in computational simplicity. We further develop a class of variable selection procedures for the linear parameters by employing a nonconcave penalized quasi-likelihood, which is shown to have an asymptotic oracle property. Monte Carlo simulations and an empirical example are presented for illustration.

Full work available at URL: https://arxiv.org/abs/1112.2502

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zbMATH Keywords

SCADgeneralized additive modelsquasi-likelihoodbackfittingLASSOshrinkage methodspolynomial splinenonconcave penalized likelihoodgeneralized partially linear modelspenalty-based variable selection

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Generalized linear models (logistic models) (62J12) Numerical smoothing, curve fitting (65D10)

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Cited In (99)

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Uses Software

• SemiPar

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