Hierarchically penalized quantile regression with multiple responses
From MaRDI portal
Publication:1622121
DOI10.1016/j.jkss.2018.05.004zbMath1406.62038MaRDI QIDQ1622121
Sungwan Bang, Jongkyeong Kang, Seung Jun Shin, Jaeshin Park
Publication date: 12 November 2018
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2018.05.004
regularization; quantile regression; variable selection; oracle property; multivariate response; hierarchical penalty
62G08: Nonparametric regression and quantile regression
62H12: Estimation in multivariate analysis
62J07: Ridge regression; shrinkage estimators (Lasso)