11,507 research outputs found

    SCAD-penalized regression in high-dimensional partially linear models

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    We consider the problem of simultaneous variable selection and estimation in partially linear models with a divergent number of covariates in the linear part, under the assumption that the vector of regression coefficients is sparse. We apply the SCAD penalty to achieve sparsity in the linear part and use polynomial splines to estimate the nonparametric component. Under reasonable conditions, it is shown that consistency in terms of variable selection and estimation can be achieved simultaneously for the linear and nonparametric components. Furthermore, the SCAD-penalized estimators of the nonzero coefficients are shown to have the asymptotic oracle property, in the sense that it is asymptotically normal with the same means and covariances that they would have if the zero coefficients were known in advance. The finite sample behavior of the SCAD-penalized estimators is evaluated with simulation and illustrated with a data set.Comment: Published in at http://dx.doi.org/10.1214/07-AOS580 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

    Asymptotic oracle properties of SCAD-penalized least squares estimators

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    We study the asymptotic properties of the SCAD-penalized least squares estimator in sparse, high-dimensional, linear regression models when the number of covariates may increase with the sample size. We are particularly interested in the use of this estimator for simultaneous variable selection and estimation. We show that under appropriate conditions, the SCAD-penalized least squares estimator is consistent for variable selection and that the estimators of nonzero coefficients have the same asymptotic distribution as they would have if the zero coefficients were known in advance. Simulation studies indicate that this estimator performs well in terms of variable selection and estimation.Comment: Published at http://dx.doi.org/10.1214/074921707000000337 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org
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