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论文类型：期刊论文

发表时间：2011-01-01

发表刊物：COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

收录刊物：Scopus、SCIE

卷号：40

期号：24

页面范围：4325-4346

ISSN号：0361-0926

关键字：Bayesian information criterion; Bridge estimator; Oracle property; Partially linear model; Variable selection

摘要：This article studies variable selection and parameter estimation in the partially linear model when the number of covariates in the linear part increases to infinity. Using the bridge penalty method, we succeed in selecting the important covariates of the linear part. Under regularity conditions, we have shown that the bridge penalized estimator of the parametric part enjoys the oracle property. We also obtain the convergence rate of the estimator of the nonparametric part. Simulation studies show that the bridge estimator performs as well as the oracle estimator for the partially linear model. An application is analyzed to illustrate the bridge procedure.