Rank reducible varying coefficient model

作者：Wang Hansheng^*

来源：Journal of Statistical Planning and Inference, 2009, 139(3): 999-1011.

DOI：10.1016/j.jspi.2008.06.004

• BIC
• Dimension reduction
• Semiparametric estimation
• Rank reducible varying coefficient model
• Varying coefficient model

We propose in this article a novel dimension reduction method for varying coefficient models. The proposed method explores the rank reducible structure of those varying coefficients, hence, can do dimension reduction and serniparametric estimation, simultaneously. As a result, the new method not only improves estimation accuracy but also facilitates practical interpretation. To determine the structure dimension, a consistent BIC criterion is developed. Numerical experiments are also presented.

• 出版日期2009-3-1
• 单位北京大学