Shrinkage estimation for identification of linear components in additive models
Date of Issue2011
School of Physical and Mathematical Sciences
In this short paper, we demonstrate that the popular penalized estimation method typically used for variable selection in parametric or semiparametric models can actually provide a way to identify linear components in additive models. Unlike most studies in the literature, we are NOT performing variable selection. Due to the difficulty in a priori deciding which predictors should enter the partially linear additive model as the linear components, such a method will prove useful in practice.
Statistics & probability letters
© 2011 Elsevier B.V.