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Full-Text Articles in Multivariate Analysis
Variable Selection In Single Index Varying Coefficient Models With Lasso, Peng Wang
Variable Selection In Single Index Varying Coefficient Models With Lasso, Peng Wang
Doctoral Dissertations
Single index varying coefficient model is a very attractive statistical model due to its ability to reduce dimensions and easy-of-interpretation. There are many theoretical studies and practical applications with it, but typically without features of variable selection, and no public software is available for solving it. Here we propose a new algorithm to fit the single index varying coefficient model, and to carry variable selection in the index part with LASSO. The core idea is a two-step scheme which alternates between estimating coefficient functions and selecting-and-estimating the single index. Both in simulation and in application to a Geoscience dataset, we …