A split-and-conquer variable selection approach for high-dimensional general semiparametric models with massive data

Abstract

Estimation and variable selection in partially linear models for massive data has been discussed by several authors. However, there does not seem to exist an established procedure for other semiparametric models, such as the semiparametric varying-coefficient linear model, the single index regression model, the partially linear errors-in-variables model, etc. In this paper, we propose a general procedure for variable selection in high-dimensional general semiparametric models by penalized semiparametric estimating equations. Under some regularity conditions, the oracle property is established, which the number of parameters is allowed to diverge. Furthermore, we also propose a split-and-conquer variable selection procedure for high-dimensional general semiparametric models with massive data. Under some weak regularity conditions, we establish the oracle property of the proposed procedure when the number of subsets does not grow too fast. What is more, the split-and-conquer procedure enjoys the oracle property as the penalized estimator by using all the dataset, and can substantially reduce computing time and computer memory requirements. The performance of the proposed method is illustrated via a real data application and numerical simulations.