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Variable selection in a class of single-index models

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  • Li-Ping Zhu

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  • Lin-Yi Qian
  • Jin-Guan Lin
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10463-010-0287-4
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 63 (2011)
    Issue (Month): 6 (December)
    Pages: 1277-1293

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    Handle: RePEc:spr:aistmt:v:63:y:2011:i:6:p:1277-1293

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Adaptive lasso; Dimension reduction; Oracle; Sliced inverse regression; Sparsity;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
    2. Enno Mammen, . "Comparing nonparametric versus parametric regression fits," Statistic und Oekonometrie 9205, Humboldt Universitaet Berlin.
    3. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
    4. Zhu, Li-Ping & Zhu, Li-Xing, 2007. "On kernel method for sliced average variance estimation," Journal of Multivariate Analysis, Elsevier, vol. 98(5), pages 970-991, May.
    5. Hansheng Wang & Runze Li & Chih-Ling Tsai, 2007. "Tuning parameter selectors for the smoothly clipped absolute deviation method," Biometrika, Biometrika Trust, vol. 94(3), pages 553-568.
    6. Cook, R. Dennis & Ni, Liqiang, 2005. "Sufficient Dimension Reduction via Inverse Regression: A Minimum Discrepancy Approach," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 410-428, June.
    7. Liqiang Ni & R. Dennis Cook & Chih-Ling Tsai, 2005. "A note on shrinkage sliced inverse regression," Biometrika, Biometrika Trust, vol. 92(1), pages 242-247, March.
    8. Lexin Li, 2007. "Sparse sufficient dimension reduction," Biometrika, Biometrika Trust, vol. 94(3), pages 603-613.
    9. Wang, Hansheng & Leng, Chenlei, 2007. "Unified LASSO Estimation by Least Squares Approximation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1039-1048, September.
    10. Zhu, Li-Ping & Zhu, Li-Xing, 2009. "Nonconcave penalized inverse regression in single-index models with high dimensional predictors," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 862-875, May.
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