Variable selection for high-dimensional generalized varying-coefficient models

• Main Author: Lian, Heng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Science::Chemistry
• Online Access: https://hdl.handle.net/10356/95821; http://hdl.handle.net/10220/11777
• Institution: Nanyang Technological University

In this paper, we consider the problem of variable selection for high-dimensional generalized varying-coefficient models and propose a polynomial-spline based procedure that simultaneously eliminates irrelevant predictors and estimates the nonzero coefficients. In a ``large , small " setting, w...