Variable selection in nonparametric regression with continuous covariates

DOI10.1214/AOS/1176348375zbMath0738.62051OpenAlexW2124289012MaRDI QIDQ1184211

Ping Zhang

Publication date: 28 June 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348375

zbMATH Keywords

bandwidthmodel selectiondimensionalitykernel methodnonparametric regressioncontinuous covariatescross-validation estimate of mean squared prediction errorestimating the number of covariates

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Linear inference, regression (62J99)

Related Items (11)

Model selection criteria based on cross-validatory concordance statistics ⋮ Choice of regressors in nonparametric estimation ⋮ Order Choice in Nonlinear Autoregressive Models ⋮ A link-free method for testing the significance of predictors ⋮ Nonparametric tests for model selection with time series data ⋮ Variable selection by stepwise slicing in nonparametric regression ⋮ Goodness-of-fit tests for kernel regression with an application to option implied volatilities ⋮ Variable selection consistency of Gaussian process regression ⋮ Sparse nonparametric model for regression with functional covariate ⋮ Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics ⋮ Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates

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