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Using thresholding difference-based estimators for variable selection in partial linear models

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  • Luo, June
  • Gerard, Patrick

Abstract

A commonly used semiparametric model is considered. We adopt two difference based estimators of the linear component of the model and propose corresponding thresholding estimators that can be used for variable selection. For each thresholding estimator, variable selection in the linear component is developed and consistency of the variable selection procedure is shown. We evaluate our method in a simulation study and implement it on a real data set.

Suggested Citation

  • Luo, June & Gerard, Patrick, 2013. "Using thresholding difference-based estimators for variable selection in partial linear models," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2601-2606.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:12:p:2601-2606
    DOI: 10.1016/j.spl.2013.08.011
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    References listed on IDEAS

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