摘要
In this puper, we consider the problem of variabie selection and model detection in varying coefficient models with longitudinM data. We propose a combined penalization procedure to select the significant variables, detect the true structure of the model and estimate the unknown regression coefficients simultaneously. With appropriate selection of the tuning parameters, we show that the proposed procedure is consistent in both variable selection and the separation of varying and constant coefficients, and the penalized estimators have the oracle property. Finite sample performances of the proposed method are illustrated by some simulation studies and the real data analysis.
In this puper, we consider the problem of variabie selection and model detection in varying coefficient models with longitudinM data. We propose a combined penalization procedure to select the significant variables, detect the true structure of the model and estimate the unknown regression coefficients simultaneously. With appropriate selection of the tuning parameters, we show that the proposed procedure is consistent in both variable selection and the separation of varying and constant coefficients, and the penalized estimators have the oracle property. Finite sample performances of the proposed method are illustrated by some simulation studies and the real data analysis.
基金
Supported by National Natural Science Foundation of China(Grant Nos.11501522,11101014,11001118 and11171012)
National Statistical Research Projects(Grant No.2014LZ45)
the Doctoral Fund of Innovation of Beijing University of Technology
the Science and Technology Project of the Faculty Adviser of Excellent PhD Degree Thesis of Beijing(Grant No.20111000503)
the Beijing Municipal Education Commission Foundation(Grant No.KM201110005029)
