A unified penalized method for sparse additive quantile models: an RKHS approach (Q2409400): Difference between revisions
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Revision as of 08:03, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A unified penalized method for sparse additive quantile models: an RKHS approach |
scientific article |
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A unified penalized method for sparse additive quantile models: an RKHS approach (English)
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11 October 2017
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The paper puts forward an additive quantile regression model for high dimension and sparsity versus small sample size data with a novel sparsity-smoothness penalty under the reproducing kernel Hilbert space. The introduced model is optimized through a hybridization of the majorize minimization and the proximal gradient approaches. Additionally, oracle inequalities are set under weak conditions. The theoretical flow is accompanied by simulations and real-world test cases.
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large \(p\) small \(n\)
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additive quantile regression
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reproducing kernel Hilbert space (RKHS)
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