纵向数据下部分线性EV模型的变量选择

摘要

The variable selection of the partially linear EV model with longitudinal data is considered in this paper. A variable selection procedure is proposed by the SCAD penalty method. With the appropriate selection of the tuning parameters, the consistency of the variable selection procedure and the Oracle property of the regularizd estimators are derived. Numerical simulations are conducted to examine the finite sample performance of the proposed method.%本文考虑了纵向数据下部分线性EV模型的变量选择问题,采用SCAD惩罚方法提出了一个变量选择过程.通过选择适当的惩罚参数,证明了该变量选择过程可以相合地识别出真实模型,并且所得的正则估计具有Orcale性质.最后模拟研究了所提出方法的有限样本性质.