Variable selection in high-dimensional quantile varying coefficient models

DOI10.1016/J.JMVA.2013.07.015zbMath1279.62049DBLPjournals/ma/TangSWZ13OpenAlexW2062199701WikidataQ57425216 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

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of mathematical programming (90C90) Statistical ranking and selection procedures (62F07)

Related Items (17)

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 ⋮ Analysis of global and local optima of regularized quantile regression in high dimensions: a subgradient approach ⋮ Iterative adaptive robust variable selection in nomparametric additive models ⋮ Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure ⋮ 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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