Ni, Xiao; Zhang, Hao Helen; Zhang, Daowen - In: Journal of Multivariate Analysis 100 (2009) 9, pp. 2100-2111
We propose and study a unified procedure for variable selection in partially linear models. A new type of double-penalized least squares is formulated, using the smoothing spline to estimate the nonparametric part and applying a shrinkage penalty on parametric components to achieve model...