Variable selection for high-dimensional varying coefficient partially linear models via nonconcave penalty

• Main Authors: Hong, Zhaoping, Hu, Yuao, Lian, Heng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Science::Mathematics
• Online Access: https://hdl.handle.net/10356/103043; http://hdl.handle.net/10220/16889
• Institution: Nanyang Technological University

In this paper, we consider the problem of simultaneous variable selection and estimation for varying-coefficient partially linear models in a “small n , large p ” setting, when the number of coefficients in the linear part diverges with sample size while the number of varying coefficients is fixed....