Using thresholding difference-based estimators for variable selection in partial linear models
AbstractA commonly used semiparametric model is considered. We adopt two difference based estimators of the linear component of the model and propose corresponding thresholding estimators that can be used for variable selection. For each thresholding estimator, variable selection in the linear component is developed and consistency of the variable selection procedure is shown. We evaluate our method in a simulation study and implement it on a real data set.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 83 (2013)
Issue (Month): 12 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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