Abstract
In the economics and biological gene expression study area where a large number of variables will be involved, even when the predictors are independent, as long as the dimension is high, the maximum sample correlation can be large. Variable selection is a fundamental method to deal with such models. The ridge regression performs well when the predictors are highly correlated and some nonconcave penalized thresholding estimators enjoy the nice oracle property. In order to provide a satisfactory solution to the collinearity problem, in this paper we report the combined-penalization (CP) mixed by the nonconcave penalty and ridge, with a diverging number of parameters. It is observed that the CP estimator with a diverging number of parameters can correctly select covariates with nonzero coefficients and can estimate parameters simultaneously in the presence of multicollinearity. Simulation studies and a real data example demonstrate the well performance of the proposed method.
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