Choosing shape parameters for regression in reproducing kernel Hilbert space and variable selection

The Gaussian radial basis function (RBF) is a widely used kernel function in kernel-based methods. The parameter in RBF, referred to as the shape parameter, plays an essential role in model fitting. In this paper, we propose a method to select the shape parameters for the general Gaussian RBF kernel. It can simultaneously serve for variable selection and regression function estimation. For the former, asymptotic consistency is established; for the latter, the estimation is as efficient as if the true or optimal shape parameters are known. Simulations and real examples are used to illustrate the method's performance of prediction by comparing it with other popular methods.