M-estimation and model identification based on double SCAD penalization

doi:10.1080/03610926.2017.1400055

CORC > 上海财经大学 > 上海财经大学

	M-estimation and model identification based on double SCAD penalization
	Hu, Jianhua 2,3; Zhu, NengHui 1
刊名	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
	2018
卷号	47 期号:23 页码:5639-5661
关键词	Additive model B-spline approximation Robust estimation Structure identification Variable selection
ISSN号	0361-0926
DOI	10.1080/03610926.2017.1400055
英文摘要	M-estimation is a widely used method for robust statistical inference. In this article, using a B-spline series approximation with a double smoothly clipped absolute deviation penalization, we solve the problem of simultaneous variable selection and parametric component identification in a non parametric additive model. The theoretical properties of the double non concave penalized M-estimation are established. The proposed approach is resistant to heavy-tailed errors or outliers in the responses. Simulation studies for finite-sample cases are conducted and a real dataset is also analyzed for illustration of this new approach.
WOS研究方向	Mathematics
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000443986200001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/752]
专题	上海财经大学
通讯作者	Zhu, NengHui
作者单位	1.Xiamen Univ Technol, Sch Appl Math, Xiamen 361024, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 3.Shanghai Univ Finance & Econ, Key Lab Math Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Hu, Jianhua,Zhu, NengHui. M-estimation and model identification based on double SCAD penalization[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2018,47(23):5639-5661.
APA	Hu, Jianhua,&Zhu, NengHui.(2018).M-estimation and model identification based on double SCAD penalization.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,47(23),5639-5661.
MLA	Hu, Jianhua,et al."M-estimation and model identification based on double SCAD penalization".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 47.23(2018):5639-5661.