| 带有时间序列的变系数 EV 模型的变量选择 |
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| 引用本文： | 苏艳云,李开灿.带有时间序列的变系数 EV 模型的变量选择[J].湖北师范学院学报(自然科学版),2013(4):47-51. |
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| 作者姓名： | 苏艳云 李开灿 |
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| 作者单位： | 湖北师范学院数学与统计学院,湖北黄石435002 |
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| 基金项目： | 国家自然科学基金资助项目（11071022）,湖北省教育厅重点项目（D20112503） |
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| 摘 要： | 在模型误差是时间序列时，利用B样条逼近和SCAD惩罚函数对变系数EV模型进行变量选择。选择合适的调整参数，偏差修正的变量选择能够同时选择有效的变量和估计非零的光滑系数函数。最后证明了变量选择的相合性，同时它也满足变量选择的Oracle性质---稀疏性。
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| 关 键 词： | 变系数EV模型 SCAD B样条基 线性平稳时间序列 |
Variable selection for varying coefficient EV models with time series |
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| SU Yan-yun,LI Kai-can.Variable selection for varying coefficient EV models with time series[J].Journal of Hubei Normal University(Natural Science),2013(4):47-51. |
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| Authors: | SU Yan-yun LI Kai-can |
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| Institution: | (College of Mathematics and Statistics, Hubei Normal University, Huangshi 435002, China) |
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| Abstract: | This paper focuses on variable selection for varying coefficient EV models when model error is a time series .We use B-spline basis and the SCAD penalty function to select .With appropriate tuning parameters , the proposed method can select significant variables and estimate the nonzero smooth coefficient functions simultaneously .We establish the consistency of the variable selection procedure , further the optimal convergence rate of the regularized estimator can be derived . |
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| Keywords: | varying coefficient EV model SCAD B-spline linear stationary time series |
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