Variable selection for fixed effects varying coefficient models

Gao Rong Li, Heng Lian, Peng Lai, Heng PENG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Citations (Scopus)

Abstract

We consider the problem of variable selection for the fixed effects varying coefficient models. A variable selection procedure is developed using basis function approximations and group nonconcave penalized functions, and the fixed effects are removed using the proper weight matrices. The proposed procedure simultaneously removes the fixed individual effects, selects the significant variables and estimates the nonzero coefficient functions. With appropriate selection of the tuning parameters, an asymptotic theory for the resulting estimates is established under suitable conditions. Simulation studies are carried out to assess the performance of our proposed method, and a real data set is analyzed for further illustration.

Original languageEnglish
Pages (from-to)91-110
Number of pages20
JournalActa Mathematica Sinica, English Series
Volume31
Issue number1
DOIs
Publication statusPublished - Jan 2015

Scopus Subject Areas

  • Mathematics(all)
  • Applied Mathematics

User-Defined Keywords

  • basis function
  • fixed effect
  • variable selection
  • Varying coefficient model

Fingerprint

Dive into the research topics of 'Variable selection for fixed effects varying coefficient models'. Together they form a unique fingerprint.

Cite this