Abstract
Spatial linear models are popular for the analysis of data on a spatial lattice, but statistical techniques for selection of covariates and a neighbourhood structure are limited. Here we develop new methodology for simultaneous model selection and parameter estimation via penalized maximum likelihood under a spatial adaptive lasso. A computationally efficient algorithm is devised for obtaining approximate penalized maximum likelihood estimates. Asymptotic properties of penalized maximum likelihood estimates and their approximations are established. A simulation study shows that the method proposed has sound finite sample properties and, for illustration, we analyse an ecological data set in western Canada. © 2010 Royal Statistical Society.