Variable Selection in Finite Mixture of Time-Varying Regression Models
Open Access
- 1 January 2020
- journal article
- Published by Scientific Research Publishing, Inc. in Advances in Pure Mathematics
- Vol. 10 (03), 101-113
- https://doi.org/10.4236/apm.2020.103007
Abstract
In this paper, we research the regression problem of time series data from heterogeneous populations on the basis of the finite mixture regression model. We propose two finite mixed time-varying regression models to solve this. A regularization method for variable selection of the models is proposed, which is a mixture of the appropriate penalty functions and l2 penalty. A Block-wise minimization maximization (MM) algorithm is used for maximum penalized log quasi-likelihood estimation of these models. The procedure is illustrated by analyzing simulations and with an application to analyze the behavior of urban vehicular traffic of the city of São Paulo in the period from 14 to 18 December 2009, which shows that the proposed models outperform the FMR models.Keywords
This publication has 1 reference indexed in Scilit:
- OptimizationPublished by Springer Science and Business Media LLC ,2013