| 部分线性模型的LASSO估计及其渐近性 |
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| 引用本文： | 李锋,卢一强.部分线性模型的LASSO估计及其渐近性[J].山东大学学报(理学版),2012,47(3):93-97. |
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| 作者姓名： | 李锋 卢一强 |
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| 作者单位： | 1. 郑州航空工业管理学院经贸学院,河南郑州,450015
2. 中国人民解放军信息工程大学电子技术学院,河南郑州,450004 |
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| 摘 要： | 结合截面最小二乘估计思想,构造了LASSO惩罚截面最小二乘估计,并研究了惩罚参数和窗宽的选择问题。由于部分线性模型LASSO解仍为线性优化问题,因此容易实现。在一定条件下,本文还研究了参数估计量的相合性和渐近正态性。最后通过蒙特卡洛模拟研究了变量选择方法的小样本性质。
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| 关 键 词： | 部分线性模型 变量选择 渐近分布 LASSO |
Asymptotics for the LASSO estimator for partially linear models |
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| LI Feng,LU Yi-qiang.Asymptotics for the LASSO estimator for partially linear models[J].Journal of Shandong University,2012,47(3):93-97. |
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| Authors: | LI Feng LU Yi-qiang |
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| Institution: | 1.Resource & Economic Trade Department,Zhengzhou Institute of Aeronautical Industry Management, Zhengzhou 450015,Henan,China; 2.Institute of Electronic Technology,The PLA Information Engineering University,Zhengzhou 450004,Henan,China) |
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| Abstract: | Based on the profile least squares method,the LASSO penalty profile least squares estimator is constructed,and the choices of penalty parameter and bandwidth are also discussed.Because the optimization problem is linear,it can be easily implemented.Under some regular conditions,the consistency and asymptotic normality of the estimator for parameter component are investigated.Finally,Monte Carlo simulation studies are conducted to assess the finite sample performance of the proposed variable selection procedures. |
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| Keywords: | partially linear models variable selection asymptotics LASSO |
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