Estimation and variable selection for generalized additive partial linear models

Li Wang, Xiang Liu, Hua Liang, Raymond J. Carroll

Research output: Contribution to journalArticlepeer-review

113 Scopus citations

Abstract

We study generalized additive partial linear models, proposing the use of polynomial spline smoothing for estimation of nonparametric functions, and deriving quasi-likelihood based estimators for the linear parameters. We establish asymptotic normality for the estimators of the parametric components. The procedure avoids solving large systems of equations as in kernel-based procedures and thus results in gains in computational simplicity. We further develop a class of variable selection procedures for the linear parameters by employing a nonconcave penalized quasi-likelihood, which is shown to have an asymptotic oracle property. Monte Carlo simulations and an empirical example are presented for illustration. © Institute of Mathematical Statistics, 2011.
Original languageEnglish (US)
Pages (from-to)1827-1851
Number of pages25
JournalThe Annals of Statistics
Volume39
Issue number4
DOIs
StatePublished - Aug 2011
Externally publishedYes

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledged KAUST grant number(s): KUS-CI-016-04
Acknowledgements: Supported by NSF Grant DMS-09-05730.Supported by a Merck Quantitative Sciences Fellowship Program.Supported by a grant from the National Cancer Institute (CA57030) and by Award Number KUS-CI-016-04, made by King Abdullah University of Science and Technology (KAUST).
This publication acknowledges KAUST support, but has no KAUST affiliated authors.

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