Consistent covariate selection and post model selection inference in semiparametric regression
نویسندگان
چکیده
منابع مشابه
Consistent Covariate Selection and Post Model Selection Inference in Semiparametric Regression
This paper presents a model selection technique of estimation in semiparametric regression models of the type Yi = β ′Xi + f(Ti) + Wi, i= 1, . . . , n. The parametric and nonparametric components are estimated simultaneously by this procedure. Estimation is based on a collection of finite-dimensional models, using a penalized least squares criterion for selection. We show that by tailoring the ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2004
ISSN: 0090-5364
DOI: 10.1214/009053604000000247