Variable selection of varying coefficient models in quantile regression

DOI10.1214/12-EJS709zbMath1295.62072MaRDI QIDQ1950855

Kwanghun Chung, Hohsuk Noh, Ingrid Van Keilegom

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1341842803

zbMATH Keywords

shrinkage estimator; second order cone programming; basis approximation; consistency in variable selection

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62G35: Nonparametric robustness

62F07: Statistical ranking and selection procedures

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Uses Software

• CVX

Cites Work

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