A note on automatic variable selection using smooth-threshold estimating equations

Masao Ueki

    Research output: Contribution to journalArticlepeer-review

    36 Citations (Scopus)

    Abstract

    This paper develops smooth-threshold estimating equations that can automatically eliminate irrelevant parameters by setting them as zero. The resulting estimator enjoys the oracle property in the sense of Fan & Li (2001), even in estimators for which the covariance assumption of Wang & Leng (2007) is violated, such as the Buckley-James estimator. Furthermore, the estimator can be obtained without solving a convex optimization problem. A bic-type criterion for tuning parameter selection is also proposed. It is shown that the criterion achieves consistent model selection. A numerical study confirms the performance of the method.

    Original languageEnglish
    Pages (from-to)1005-1011
    Number of pages7
    JournalBiometrika
    Volume96
    Issue number4
    DOIs
    Publication statusPublished - 2009 Dec

    Keywords

    • Bic
    • Buckley-James estimator
    • Covariance assumption
    • Estimating equation
    • Lasso
    • Oracle property

    ASJC Scopus subject areas

    • Statistics and Probability
    • Mathematics(all)
    • Agricultural and Biological Sciences (miscellaneous)
    • Agricultural and Biological Sciences(all)
    • Statistics, Probability and Uncertainty
    • Applied Mathematics

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