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首页> 外文期刊>Annals of the Institute of Statistical Mathematics >Model identification and selection for single-index varying-coefficient models
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Model identification and selection for single-index varying-coefficient models

机译：单索索引变化系数模型的模型识别与选择

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Single-index varying-coefficient models include many types of popular semiparametric models, i.e., single-index models, partially linear models, varying coefficient models, and so on. In this paper, a two-stage efficient variable selection procedure is proposed to select important nonparametric and parametric components and obtain estimators simultaneously. We also find that the proposed procedure can separate predictors into varying-coefficient and constant-coefficient predictors automatically. Theoretically, it has the selection and estimation consistency properties. Simulation studies and a real data application are conducted to evaluate and illustrate the proposed methods.
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