Variable selection in linear measurement error models via penalized score functions
Abstract
We propose variable selection procedures based on penalized score functions derived for linear measurement error models. To calibrate the selection procedures, we define new tuning parameter selectors based on the scores. Large-sample properties of these new tuning parameter selectors are established for the proposed procedures. These new methods are compared in simulations and a real-data application with competing methods where one ignores measurement error or uses the Bayesian information criterion to choose the tuning parameter. © 2013.
Publication Title
Journal of Statistical Planning and Inference
Recommended Citation
Huang, X., & Zhang, H. (2013). Variable selection in linear measurement error models via penalized score functions. Journal of Statistical Planning and Inference, 143 (12), 2101-2111. https://doi.org/10.1016/j.jspi.2013.07.014
