Estimation and variable selection for partially functional linear models. (English) Zbl 1406.62034
Summary: In this paper, a new estimation procedure based on composite quantile regression and functional principal component analysis (PCA) method is proposed for the partially functional linear regression models (PFLRMs). The proposed estimation method can simultaneously estimate both the parametric regression coefficients and functional coefficient components without specification of the error distributions. The proposed estimation method is shown to be more efficient empirically for non-normal random error, especially for Cauchy error, and almost as efficient for normal random errors. Furthermore, based on the proposed estimation procedure, we use the penalized composite quantile regression method to study variable selection for parametric part in the PFLRMs. Under certain regularity conditions, consistency, asymptotic normality, and Oracle property of the resulting estimators are derived. Simulation studies and a real data analysis are conducted to assess the finite sample performance of the proposed methods.
MSC:
| 62G08 | Nonparametric regression and quantile regression |
| 62G20 | Asymptotic properties of nonparametric inference |
| 62J05 | Linear regression; mixed models |
Keywords:
partially functional linear regression model; variable selection; composite quantile regression; oracle propertyReferences:
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