Efficient Model Selection in Semivarying Coefficient Models
- 노호석; Ingrid Van Keilegom
- Issue Date
- INST MATHEMATICAL STATISTICS
- ELECTRONIC JOURNAL OF STATISTICS, pp.2519 - 2534
- Journal Title
- ELECTRONIC JOURNAL OF STATISTICS
- Start Page
- End Page
- Varying coefficient models are useful extensions of classical linear models. In practice, some of the coefficients may be just constant, while other coefficients are varying. Several methods have been developed to utilize the information that some coefficient functions are constant to improve estimation efficiency. However, in order for such methods to really work, the information about which coefficient functions are constant should be given in advance. In this paper, we propose a computationally efficient method to discriminate in a consistent way the constant coefficient functions from the varying ones. Additionally, we compare the performance of our proposal with that of previous methods developed for the same purpose in terms of model selection accuracy and computing time.
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- 이과대학 > 통계학과 > 1. Journal Articles
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