KMS Of Academy of mathematics and systems sciences, CAS
| Penalized estimation equation for an extended single-index model | |
Li, Yongjin1; Zhang, Qingzhao2; Wang, Qihua1,3
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| 2017-02-01 | |
| Source Publication | ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
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| ISSN | 0020-3157 |
| Volume | 69Issue:1Pages:169-187 |
| Abstract | 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. |
| Keyword | Single-index model Penalized estimating equations Variable selection Oracle property Smoothly clipped absolute deviation Adaptive lasso |
| DOI | 10.1007/s10463-015-0544-7 |
| Language | 英语 |
| Funding Project | 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 Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000391449500007 |
| Publisher | SPRINGER HEIDELBERG |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/24559 |
| Collection | 应用数学研究所 |
| Corresponding Author | Wang, Qihua |
| Affiliation | 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 |
| Recommended Citation 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. |
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