Variable selection in partially time-varying coefficient models

DOI10.1080/10485250902912694MaRDI QIDQ5321918zbMATH OpenOpenAlexFDO

Authors Degui Li, Jia Chen, Zhengyan Lin

Publication date 16 July 2009

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250902912694

zbMATH Keywords

oracle propertysemiparametric regressiontime-varying coefficients modelpenalised least squaresprofile local linear technique

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05)

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Cites work

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Cited in

(9)

• Simultaneous variable selection and structural identification for time‐varying coefficient models
• A reproducing kernel Hilbert space approach to high dimensional partially varying coefficient model
• Variable selection for partially time-varying coefficient error-in-variables models
• Inference of time-varying regression models
• Two-step variable selection in partially linear additive models with time series data
• A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series
• Statistical inference in partially time-varying coefficient models
• Semiparametric model building for regression models with time-varying parameters
• Model identification and selection for varying coefficient errors-in-variables models

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