图 书 馆
非参数加性模型中的变量选择Variable selection in nonparametric additive models |
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| 课程网址: | http://videolectures.net/sip08_horowitz_vsina/ |
| 主讲教师: | Joel Horowitz |
| 开课单位: | 西北大学 |
| 开课时间: | 2008-12-18 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | We consider a nonparametric additive model of a conditional mean function in which the number of variables and additive components may be much larger than the sample size but the number of non-zero additive compo- nents is small relative to the sample size. The statistical problem is to determine which additive components are non-zero. The additive compo- nents are approximated by truncated series expansions with B-spline bases. The adaptive group LASSO is used to select non-zero components. We give conditions under which this procedure selects the non-zero components correctly with probability approaching one as the sample size increases. Fol- lowing model selection, oracle-efficient, asymptotically normal estimators of the non-zero components can be obtained by using existing methods. The results of Monte Carlo experiments show that the adaptive group LASSO procedure works well with samples of moderate size. |
| 关 键 词: | 均值函数; 加性成分; 样本数量 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-09-21：cwx |
| 阅读次数: | 136 |