A robust and efficient shrinkage-type variable selection procedure for varying coefficient models is proposed,selection consistency and oracle properties are established.Furthermore,a BIC-type criterion is suggested f...A robust and efficient shrinkage-type variable selection procedure for varying coefficient models is proposed,selection consistency and oracle properties are established.Furthermore,a BIC-type criterion is suggested for shrinkage parameter selection and theoretical property is discussed.Numerical studies and real data analysis also are included to illustrate the finite sample performance of our method.展开更多
基金supported by the National Natural Science Foundation of China(Nos.11901356,11971265)wealth management project(2019ZBKY047)of Shandong Technology and Business University.
文摘A robust and efficient shrinkage-type variable selection procedure for varying coefficient models is proposed,selection consistency and oracle properties are established.Furthermore,a BIC-type criterion is suggested for shrinkage parameter selection and theoretical property is discussed.Numerical studies and real data analysis also are included to illustrate the finite sample performance of our method.
