摘要
In this paper, we propose a variable selection procedure for partially linear varying coef- ficient model under quantile loss function with adaptive Lasso penalty. The functional coefficients are estimated by B-spline approximations. The proposed procedure simul- taneously selects significant variables and estimates unknown parameters. The major advantage of the proposed procedures over the existing ones is easy to implement using existing software, and it requires no specification of the error distributions. Under the regularity conditions, we show that the proposed procedure can be as efficient as the Oracle estimator, and derive the optimal convergence rate of the functional coefficients. A simulation study and a real data application are undertaken to assess the finite sample performance of the proposed variable selection procedure.
