Variable selection in high-dimensional quantile varying coefficient models
AbstractIn this paper, we propose a two-stage variable selection procedure for high dimensional quantile varying coefficient models. The proposed method is based on basis function approximation and LASSO-type penalties. We show that the first stage penalized estimator with LASSO penalty reduces the model from ultra-high dimensional to a model that has size close to the true model, but contains the true model as a valid sub model. By applying adaptive LASSO penalty to the reduced model, the second stage excludes the remained irrelevant covariates, leading to an estimator consistent in variable selection. A simulation study and the analysis of a real data demonstrate that the proposed method performs quite well in finite samples, with regard to dimension reduction and variable selection.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 122 (2013)
Issue (Month): C ()
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