应用概率统计
應用概率統計
응용개솔통계
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
2012年
6期
614-624
,共11页
部分线性模型%变量选择%渐近分布%LASSO%adaptive LASSO
部分線性模型%變量選擇%漸近分佈%LASSO%adaptive LASSO
부분선성모형%변량선택%점근분포%LASSO%adaptive LASSO
Partially linear models%variable selection%asymptotic distribution%LASSO%adaptive LASSO
部分线性模型是一类常用的半参数统计模型,本文对部分线性模型的adaptive LASSO参数估计及变量选择方法进行了研究.首先结合截面最小二乘思想和adaptive LASSO估计方法,构造了adaptive LASSO惩罚截面最小二乘估计,并研究了惩罚参数和窗宽的选择问题.理论上研究了在一定条件下估计量的相合性和渐近正态性,证明adaptive LASSO估计具有oracle性质.该估计方法便于计算.最后通过模拟研究了估计量的小样本性质,结果表明变量选择和参数估计效果良好.
部分線性模型是一類常用的半參數統計模型,本文對部分線性模型的adaptive LASSO參數估計及變量選擇方法進行瞭研究.首先結閤截麵最小二乘思想和adaptive LASSO估計方法,構造瞭adaptive LASSO懲罰截麵最小二乘估計,併研究瞭懲罰參數和窗寬的選擇問題.理論上研究瞭在一定條件下估計量的相閤性和漸近正態性,證明adaptive LASSO估計具有oracle性質.該估計方法便于計算.最後通過模擬研究瞭估計量的小樣本性質,結果錶明變量選擇和參數估計效果良好.
부분선성모형시일류상용적반삼수통계모형,본문대부분선성모형적adaptive LASSO삼수고계급변량선택방법진행료연구.수선결합절면최소이승사상화adaptive LASSO고계방법,구조료adaptive LASSO징벌절면최소이승고계,병연구료징벌삼수화창관적선택문제.이론상연구료재일정조건하고계량적상합성화점근정태성,증명adaptive LASSO고계구유oracle성질.해고계방법편우계산.최후통과모의연구료고계량적소양본성질,결과표명변량선택화삼수고계효과량호.
Partially linear model is a class of commonly used semiparametric models, this paper focus on variable selection and parameter estimation for partially linear models via adaptive LASSO method. Firstly, based on profile least squares and adaptive LASSO method, the adaptive LASSO estimator for partially linear models are constructed, and the selections of penalty parameter and bandwidth are discussed. Under some regular conditions, the consistency and asymptotic normality for the estimator are investigated, and it is proved that the adaptive LASSO estimator has the oracle properties. The proposed method can be easily implemented. Finally a Monte Carlo simulation study is conducted to assess the finite sample performance of the proposed variable selection procedure, results show the adaptive LASSO estimator behaves well.
