Variable selection for varying coefficient models with measurement errors |
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Authors: | Peixin Zhao Liugen Xue |
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Institution: | 1.College of Applied Sciences,Beijing University of Technology,Beijing,China;2.Department of Mathematics,Hechi University,Guangxi,China |
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Abstract: | This paper focuses on variable selections for varying coefficient models when some covariates are measured with errors. We
present a bias-corrected variable selection procedure by combining basis function approximations with shrinkage estimations.
With appropriate selection of the tuning parameters, we establish the consistency of the variable selection procedure, and
derive the optimal convergence rate of the regularized estimators. A simulation study and a real data application are undertaken
to assess the finite sample performance of the proposed variable selection procedure. |
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Keywords: | |
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