Abstract

Variable selection is vital to statistical data analyses. Many of procedures in use are stepwise selection procedures, which can be expensive in computation and ignore stochastic errors in the variable selection process of previous steps. An automatic and simultaneous variable selection procedure can be obtained by using a penalized likelihood method. In traditional linear models, the best subset selection and stepwise deletion methods coincide with a penalized least-squares method when design matrices are orthonormal. In this paper, we propose a few new approaches to selecting variables for linear models, robust regression models and generalized linear models based on a penalized likelihood approach. A family of thresholding functions are proposed. The LASSO proposed by Tibshirani (1996) is a member of the penalized least-squares with the L 1 -penalty. A smoothly clipped absolute deviation (SCAD) penalty function is introduced to ameliorate the properties of L 1 -penalty. A ...

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