The adaptive LASSO spline estimation of single-index model

被引：0
作者：
Yiqiang Lu
Riquan Zhang
Bin Hu
机构：
[1] The PLA Information Engineering University,School of Finance and Statistics
[2] East China Normal University,undefined
来源：
Journal of Systems Science and Complexity | 2016年 / 29卷
关键词：
Adaptive LASSO; B-spline; oracle property; single-index model; variable selection;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, based on spline approximation, the authors propose a unified variable selection approach for single-index model via adaptive L1 penalty. The calculation methods of the proposed estimators are given on the basis of the known lars algorithm. Under some regular conditions, the authors demonstrate the asymptotic properties of the proposed estimators and the oracle properties of adaptive LASSO (aLASSO) variable selection. Simulations are used to investigate the performances of the proposed estimator and illustrate that it is effective for simultaneous variable selection as well as estimation of the single-index models.
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页码：1100 / 1111
页数：11
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