The Adaptive L1-penalized LAD Regression for Partially Linear Single-index Models

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户:yoyo220
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  We propose a stepwise penalized LAD regression to generate robust estimators based on PLSIM.An iterative procedure is firstly presented to estimate the index parameters with the univariate link function is approximated by local linear LAD regression,then adaptive L1-penalized LAD procedure is introduced to do estimation and variable selection for the linear part parameters based on the index estimator.
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