Semiparametric regression models with additive nonparametric components and high dimensional parametric components
This paper concerns semiparametric regression models with additive nonparametric components and high dimensional parametric components under sparsity assumptions. To achieve simultaneous model selection for both nonparametric and parametric parts, we introduce a penalty that combines the adaptive empirical L2-norms of the nonparametric component functions and the SCAD penalty on the coefficients in the parametric part. We use the additive partial smoothing spline estimate as the initial estimate and establish its convergence rate with diverging dimensions of parametric components. Our simulation studies reveal excellent model selection performance of the proposed method. An application to an economic study on Canadian household gasoline consumption reveals interesting results.
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- Adonis Yatchew & Joungyeo Angela No, 2001. "Household Gasoline Demand in Canada," Econometrica, Econometric Society, vol. 69(6), pages 1697-1709, November.
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- Zhang, Hao Helen & Cheng, Guang & Liu, Yufeng, 2011. "Linear or Nonlinear? Automatic Structure Discovery for Partially Linear Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(495), pages 1099-1112.
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- Fan, Jianqing & Feng, Yang & Song, Rui, 2011. "Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 544-557.
- Ni, Xiao & Zhang, Hao Helen & Zhang, Daowen, 2009. "Automatic model selection for partially linear models," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2100-2111, October.
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