Variable Selection and Nonvarying Coefficient Identification in Varying-Coefficient Models

• Activity Number: 35
• Type: Contributed
• Date/Time: Sunday, August 1, 2010 : 2:00 PM to 3:50 PM
• Sponsor: Section on Nonparametric Statistics
• Author(s): Heng Lian*+
• Companies: Nanyang Technological University
• Keywords: BIC ; B-spline basis ; Constansistency ; Varying-coefficient models

Abstract

The varying-coefficient model is a flexible class of approaches that extends simple linear relationships between covariates and responses. Two related problems concerning these models are selecting relevant variables and determining non-varying coefficients among those relevant ones. We study the sparsistency and constansistency of the regularized estimation approach. Here constansistency refers to the desired property that the non-zero, non-varying coefficients are identified with probability tending to one. The proposed procedure based on B-spline basis expansion and penalization simultaneously achieves both objectives as well as retains optimal convergence rates for all the coefficients.