Penalized estimation equation for an extended single-index model

doi:10.1007/s10463-015-0544-7

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	Penalized estimation equation for an extended single-index model
	Li, Yongjin 1; Zhang, Qingzhao 2; Wang, Qihua1,3
	2017-02-01
发表期刊	ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
ISSN	0020-3157
卷号	69 期号:1 页码:169-187
摘要	The single-index model is a useful extension of the linear regression model. Cui et al. (Ann Stat 39:1658-1688, 2011) proposed an estimating function method for the estimation of index vector in an extended single-index model (ESIM). Nevertheless, how to conduct variable selection for ESIM has not been studied. To solve this problem, we penalize the estimating equation with some types of penalty, such as smoothly clipped absolute deviation penalty and adaptive lasso penalty. Under some regularity conditions, the oracle property is established, i.e., the resulting estimator can be as efficient as the oracle estimator, thus we improve the explanatory ability and accuracy of estimator for the ESIM. A novel algorithm is proposed to solve the penalized estimating equation by combining quasi-Fisher scoring type algorithm and MM algorithm. Simulation study and real data application demonstrate the excellent performance of the proposed estimators.
关键词	Single-index model Penalized estimating equations Variable selection Oracle property Smoothly clipped absolute deviation Adaptive lasso
DOI	10.1007/s10463-015-0544-7
语种	英语
资助项目	National Science Fund for Distinguished Young Scholars in China[10725106] ; National Natural Science Foundation of China[11171331] ; National Natural Science Foundation of China[11331011] ; Key Lab of Random Complex Structure and Data Science, CAS ; Natural Science Foundation of SZU ; China Postdoctoral Science Foundation[2014M550799] ; National Science Foundation of China[11401561]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000391449500007
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24559
专题	应用数学研究所
通讯作者	Wang, Qihua
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Shenzhen Univ, Inst Stat Sci, Shenzhen 518006, Peoples R China
推荐引用方式 GB/T 7714	Li, Yongjin,Zhang, Qingzhao,Wang, Qihua. Penalized estimation equation for an extended single-index model[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,2017,69(1):169-187.
APA	Li, Yongjin,Zhang, Qingzhao,&Wang, Qihua.(2017).Penalized estimation equation for an extended single-index model.ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,69(1),169-187.
MLA	Li, Yongjin,et al."Penalized estimation equation for an extended single-index model".ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS 69.1(2017):169-187.