Linear or nonlinear? automatic structure discovery for partially linear models

Hao Helen Zhang, Guang Cheng, Yufeng Liu

Research output: Contribution to journalArticle

89 Scopus citations

Abstract

Partially linear models provide a useful class of tools for modeling complex data by naturally incorporating a combination of linear and nonlinear effects within one framework. One key question in partially linear models is the choice of model structure, that is, how to decide which covariates are linear and which are nonlinear. This is a fundamental, yet largely unsolved problem for partially linear models. In practice, one often assumes that the model structure is given or known and then makes estimation and inference based on that structure. Alternatively, there are two methods in common use for tackling the problem: hypotheses testing and visual screening based on the marginal fits. Both methods are quite useful in practice but have their drawbacks. First, it is difficult to construct a powerful procedure for testing multiple hypotheses of linear against nonlinear fits. Second, the screening procedure based on the scatterplots of individual covariate fits may provide an educated guess on the regression function form, but the procedure is ad hoc and lacks theoretical justifications. In this article, we propose a new approach to structure selection for partially linear models, called the LAND (Linear And Nonlinear Discoverer). The procedure is developed in an elegant mathematical framework and possesses desired theoretical and computational properties. Under certain regularity conditions, we show that the LAND estimator is able to identify the underlying true model structure correctly and at the same time estimate the multivariate regression function consistently. The convergence rate of the new estimator is established as well. We further propose an iterative algorithm to implement the procedure and illustrate its performance by simulated and real examples. Supplementary materials for this article are available online.

Original languageEnglish (US)
Pages (from-to)1099-1112
Number of pages14
JournalJournal of the American Statistical Association
Volume106
Issue number495
DOIs
StatePublished - Oct 21 2011

Keywords

  • Model selection
  • RKHS
  • Semiparametric regression
  • Shrinkage
  • Smoothing splines

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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