Consistent model identification of varying coefficient quantile regression with BIC tuning parameter selection

DOI10.1080/03610926.2015.1010009MaRDI QIDQ2979579zbMATH OpenOpenAlexWikidataFDO

Authors Qi Zheng, Limin Peng

Publication date 25 April 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL http://europepmc.org/articles/pmc5166990

zbMATH Keywords

Bayesian information criterionquantile regressionshrinkage estimationvarying covariate effects

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

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• Quantile regression and variable selection for single-index varying-coefficient models
• Quantile regression in partially linear varying coefficient models

Cites work

• Adaptive penalized quantile regression for high dimensional data
• Composite quantile regression and the oracle model selection theory
• Log log laws for empirical measures
• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Parametric component detection and variable selection in varying-coefficient partially linear models
• Regression Quantiles
• Shrinkage estimation of the varying coefficient model
• The Adaptive Lasso and Its Oracle Properties
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• Unified LASSO Estimation by Least Squares Approximation
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(6)

• Regularization and model selection for quantile varying coefficient model with categorical effect modifiers
• Adaptively weighted group Lasso for semiparametric quantile regression models
• A penalized approach to covariate selection through quantile regression coefficient models
• Tensor Response Quantile Regression with Neuroimaging Data
• The Bayesian regularized quantile varying coefficient model
• Shrinkage estimation of varying covariate effects based on quantile regression

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