# 均值方差联合模型的SEE变量选择SEE Variable Selection for Joint Mean and Variance Models

DOI: 10.12677/SA.2017.61011, PDF, HTML, XML, 下载: 1,147  浏览: 2,056  科研立项经费支持

Abstract: The method based on modeling the variance is one of the most commonly used methods to deal with heteroscedasticity. In this paper, we propose a variable selection procedure based on the smooth threshold estimating equations for joint mean and variance models. The proposed variable selection method can select variables and estimate coefficients simultaneously, and does not need to solve convex optimization problem so as to largely reduce computation quantity in practice. Finally, we make some simulations to show that the proposed procedure works satisfactorily.

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