Feature-splitting algorithms for ultrahigh dimensional quantile regression

DOI10.1016/J.JECONOM.2023.01.028MaRDI QIDQ6969756zbMATH OpenFDO

Authors Song-Shan Yang, Christina Dan Wang, Yifan Jiang, Runze Li

Publication date 19 June 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.01.028

zbMATH Keywords

ADMMparallel computingpenalized quantile regressionsample-splitting algorithm

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(3)

• Feature splitting parallel algorithm for Dantzig selectors
• Communication-efficient and distributed-oracle estimation for high-dimensional quantile regression
• Enhancements of communication-efficient distributed statistical inference and its privacy preservation

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