Semi-varying coefficient models with a diverging number of components
Semiparametric models with both nonparametric and parametric components have become increasingly useful in many scientific fields, due to their appropriate representation of the trade-off between flexibility and efficiency of statistical models. In this paper we focus on semi-varying coefficient models (a.k.a. varying coefficient partially linear models) in a "large n, diverging p" situation, when both the number of parametric and nonparametric components diverges at appropriate rates, and we only consider the case p=o(n). Consistency of the estimator based on B-splines and asymptotic normality of the linear components are established under suitable assumptions. Interestingly (although not surprisingly) our analysis shows that the number of parametric components can diverge at a faster rate than the number of nonparametric components and the divergence rates of the number of the nonparametric components constrain the allowable divergence rates of the parametric components, which is a new phenomenon not established in the existing literature as far as we know. Finally, the finite sample behavior of the estimator is evaluated by some Monte Carlo studies.
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Volume (Year): 102 (2011)
Issue (Month): 7 (August)
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References listed on IDEAS
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- Wang, Lifeng & Li, Hongzhe & Huang, Jianhua Z., 2008. "Variable Selection in Nonparametric Varying-Coefficient Models for Analysis of Repeated Measurements," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1556-1569.
- Ming Yuan & Yi Lin, 2007. "Model selection and estimation in the Gaussian graphical model," Biometrika, Biometrika Trust, vol. 94(1), pages 19-35.
- Hansheng Wang & Bo Li & Chenlei Leng, 2009. "Shrinkage tuning parameter selection with a diverging number of parameters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 671-683.
- 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.
- 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.
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