Variable selection in high-dimensional quantile varying coefficient models

DOI10.1016/j.jmva.2013.07.015zbMath1279.62049OpenAlexW2062199701WikidataQ57425216 ScholiaQ57425216MaRDI QIDQ391871

Huixia Judy Wang, Yanlin Tang, Xin-Yuan Song, Zhong-yi Zhu

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.07.015

zbMATH Keywords

linear programmingB-splinesnonparametricLASSO

Mathematics Subject Classification ID

Related Items (14)

Variable selection in high-dimensional linear model with possibly asymmetric errors ⋮ Variable selection in censored quantile regression with high dimensional data ⋮ Modified adaptive group lasso for high-dimensional varying coefficient models ⋮ A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction ⋮ Quantile regression for varying coefficient spatial error models ⋮ Variable selection and structure identification for varying coefficient Cox models ⋮ Semiparametric model averaging for ultrahigh-dimensional conditional quantile prediction ⋮ Discussion ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ Partially linear additive quantile regression in ultra-high dimension ⋮ Model averaging marginal regression for high dimensional conditional quantile prediction ⋮ Inference for high-dimensional varying-coefficient quantile regression ⋮ Adaptively weighted group Lasso for semiparametric quantile regression models ⋮ A spatial panel quantile model with unobserved heterogeneity

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