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Forward Variable Selection for Sparse Ultra-High Dimensional Generalized Varying Coefficient Models

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  • Honda, Toshio
  • 本田, 敏雄
  • Lin, Chien-Tong

Abstract

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Suggested Citation

  • Honda, Toshio & 本田, 敏雄 & Lin, Chien-Tong, 2020. "Forward Variable Selection for Sparse Ultra-High Dimensional Generalized Varying Coefficient Models," Discussion Papers 2020-01, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2020-01
    Note: First version : January 2020 / This version : February 2020
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/30969/070econDP20-01.pdf
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    References listed on IDEAS

    as
    1. Wang, Hansheng, 2009. "Forward Regression for Ultra-High Dimensional Variable Screening," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1512-1524.
    2. Xia, Xiaochao & Yang, Hu & Li, Jialiang, 2016. "Feature screening for generalized varying coefficient models with application to dichotomous responses," Computational Statistics & Data Analysis, Elsevier, vol. 102(C), pages 85-97.
    3. Qi Zheng & Hyokyoung G. Hong & Yi Li, 2020. "Building generalized linear models with ultrahigh dimensional features: A sequentially conditional approach," Biometrics, The International Biometric Society, vol. 76(1), pages 47-60, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    B-spline basis; forward procedure; maximum likelihood; screening consistency; stopping rule; varying coefficient model;
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