Group identification and variable selection in quantile regression

DOI10.1155/2019/8504174MaRDI QIDQ2272869zbMATH OpenOpenAlexWikidataFDO

Authors Basim Shlaibah Msallam, Ali Alkenani

Publication date 17 September 2019

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/8504174

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

Review text

Summary: Using the Pairwise Absolute Clustering and Sparsity (PACS) penalty, we proposed the regularized quantile regression QR method (QR-PACS). The PACS penalty achieves the elimination of insignificant predictors and the combination of predictors with indistinguishable coefficients (IC), which are the two issues raised in the searching for the true model. QR-PACS extends PACS from mean regression settings to QR settings. The paper shows that QR-PACS can yield promising predictive precision as well as identifying related groups in both simulation and real data.

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Cites work

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Cited in

(3)

• Robust group identification and variable selection in regression
• Quantile regression with group Lasso for classification
• Hierarchically penalized quantile regression

Describes a project that uses

Uses Software

• QICD

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