摘要
In this paper, we investigate the variable selection problem of the generalized regression models. To estimate the regression parameter, a procedure combining the rank correlation method and the adaptive lasso technique is developed, which is proved to have oracle properties. A modified IMO （iterative marginal optimization） algorithm which directly aims to maximize the penalized rank correlation function is proposed. The effects of the estimating procedure are illustrated by simulation studies.
In this paper, we investigate the variable selection problem of the generalized regression models. To estimate the regression parameter, a procedure combining the rank correlation method and the adaptive lasso technique is developed, which is proved to have oracle properties. A modified IMO （iterative marginal optimization） algorithm which directly aims to maximize the penalized rank correlation function is proposed. The effects of the estimating procedure are illustrated by simulation studies.
基金
supported by National Natural Science Foundation of China(10901162)
supported by the Fundamental Research Funds for the Central Universities and the Research Funds of Renmin University of China(10XNF073)
supported by China Postdoctoral Science Foundation(2014M550799)
