Regularized simultaneous model selection in multiple quantiles regression

DOI10.1016/J.CSDA.2008.05.013zbMath1452.62301OpenAlexW2165161097MaRDI QIDQ1023905

Hui Zou, Ming Yuan

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.05.013

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08)

Related Items (25)

Interquantile shrinkage and variable selection in quantile regression ⋮ Hierarchically penalized quantile regression with multiple responses ⋮ Degrees of freedom for off-the-grid sparse estimation ⋮ Simultaneous estimation for non-crossing multiple quantile regression with right censored data ⋮ Learning Multiple Quantiles With Neural Networks ⋮ Regularized quantile regression under heterogeneous sparsity with application to quantitative genetic traits ⋮ Data Integration in High Dimension With Multiple Quantiles ⋮ Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization ⋮ Model selection in binary and Tobit quantile regression using the Gibbs sampler ⋮ P-splines quantile regression estimation in varying coefficient models ⋮ Censored quantile regression processes under dependence and penalization ⋮ Simultaneous estimation of multiple conditional regression quantiles ⋮ Simultaneous multiple non-crossing quantile regression estimation using kernel constraints ⋮ Simultaneous cancer classification and gene selection with Bayesian nearest neighbor method: an integrated approach ⋮ Quantile regression in varying-coefficient models: non-crossing quantile curves and heteroscedasticity ⋮ Optimal expectile smoothing ⋮ Bayesian binary kernel probit model for microarray based cancer classification and gene selection ⋮ Adaptive sup-norm regularized simultaneous multiple quantiles regression ⋮ An efficient algorithm for structured sparse quantile regression ⋮ Partially linear additive quantile regression in ultra-high dimension ⋮ Penalized regression across multiple quantiles under random censoring ⋮ Segmented Model Selection in Quantile Regression Using the Minimum Description Length Principle ⋮ Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE? ⋮ Boosting as a kernel-based method ⋮ Robust sufficient dimension reduction via ball covariance

Uses Software

• ElemStatLearn

Cites Work

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• Regression Quantiles
• Bivariate Quantile Smoothing Splines
• Quantile smoothing splines
• Reappraising Medfly Longevity
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Quantile Regression in Reproducing Kernel Hilbert Spaces
• Model Selection and Estimation in Regression with Grouped Variables
• The elements of statistical learning. Data mining, inference, and prediction

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