Variable selection in elliptical Linear Mixed Models (LMMs) with a shrinkage penalty function (SPF) is the main scope of this study. SPFs are applied for parameter estimation and variable selection simultaneously. The smoothly clipped absolute deviation penalty (SCAD) is one of the SPFs and it is adapted into the elliptical LMM in this study. The proposed idea is highly applicable to a variety of models which are set up with different distributions such as normal, student-t, Pearson VII, power exponential and so on. Simulation studies and real data example with one of the elliptical distributions show that if the variable selection is also a concern, it is worthwhile to carry on the variable selection and the parameter estimation simultaneously in the elliptical LMM.
机构:
Univ So Calif, Marshall Sch Business, Dept Informat & Operat Management, Los Angeles, CA 90089 USAUniv So Calif, Marshall Sch Business, Dept Informat & Operat Management, Los Angeles, CA 90089 USA
Fan, Yingying
Li, Runze
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机构:
Penn State Univ, Dept Stat, University Pk, PA 16802 USA
Penn State Univ, Methodol Ctr, University Pk, PA 16802 USAUniv So Calif, Marshall Sch Business, Dept Informat & Operat Management, Los Angeles, CA 90089 USA
Li, Runze
ANNALS OF STATISTICS,
2012,
40
(04):
: 2043
-
2068
机构:
Columbia Univ, Dept Biostat, Columbia Mailman Sch Publ Hlth, New York, NY 10027 USAColumbia Univ, Dept Biostat, Columbia Mailman Sch Publ Hlth, New York, NY 10027 USA
Goldsmith, Jeff
Schwartz, Joseph E.
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h-index: 0
机构:
Columbia Univ, Dept Med, Med Ctr, New York, NY USA
SUNY Stony Brook, Dept Psychiat & Behav Sci, Stony Brook, NY 11794 USAColumbia Univ, Dept Biostat, Columbia Mailman Sch Publ Hlth, New York, NY 10027 USA