Abstract #300874

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JSM 2002 Abstract #300874
Activity Number: 101
Type: Topic Contributed
Date/Time: Monday, August 12, 2002 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #300874
Title: Model Selection in Semiparametric Regression Analysis
Author(s): Runze Li*+ and Jianqing Fan
Affiliation(s): Pennsylvania State University and Chinese University, Hong Kong/UNC-CH
Address: 326 Thomas Building, University Park, Pennsylvania, PA 16802-2111, USA
Keywords: LASSO ; MODEL SELECTION ; PENALIZED LEAST SQUARES ; SCAD
Abstract:

In this talk, I will propose a class of variable selection procedures for parametric portion in the semiparametric regression models. The proposed procedures are distinguished from other existing ones in that they select significant variables and estimate unknown parameters simultaneously. Sampling properties of the resulting estimate are established. A robust standard error formula is derived via using sandwich formula and empirically tested. Statistical inference for nonparametric portion in the models will be briefly discussed. Empirical performances of the proposed inference procedures are investigated via extensive Monte Carlo simulations.

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Revised March 2002