A new model selection procedure based on dynamic quantile regression
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Recommendations
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- Estimation and variable selection for a class of quantile regression models with multiple index
- Dynamic quantile models
Cites work
- Composite quantile regression and the oracle model selection theory
- New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
- Rejoinder: One-step sparse estimates in nonconcave penalized likelihood models
- The Adaptive Lasso and Its Oracle Properties
- Tuning parameter selectors for the smoothly clipped absolute deviation method
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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