Adaptive fused LASSO in grouped quantile regression

DOI10.1080/15598608.2016.1258601zbMATH Open1420.62130arXiv1607.05536OpenAlexW2962721167MaRDI QIDQ2323263FDOQ2323263

Authors: Gabriela Ciuperca 

Publication date: 30 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Abstract: This paper considers quantile model with grouped explanatory variables. In order to have the sparsity of the parameter groups but also the sparsity between two successive groups of variables, we propose and study an adaptive fused group LASSO quantile estimator. The number of variable groups can be fixed or divergent. We find the convergence rate under classical assumptions and we show that the proposed estimator satisfies the oracle properties.

Full work available at URL: https://arxiv.org/abs/1607.05536

Recommendations

• Adaptive group Lasso selection in quantile models
• Adaptive elastic-net selection in a quantile model with diverging number of variable groups
• Adaptively weighted group Lasso for semiparametric quantile regression models
• Adaptive group Lasso for high-dimensional generalized linear models
• Sparse group variable selection based on quantile hierarchical Lasso

zbMATH Keywords

quantile regressionselection consistencygroup selectionoracle propertiesadaptive fused LASSO

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Title not available (Why is that?)
• Quantile regression.
• Sparsity and Smoothness Via the Fused Lasso
• Model Selection and Estimation in Regression with Grouped Variables
• A selective review of group selection in high-dimensional models
• Composite quantile regression and the oracle model selection theory
• On the adaptive elastic net with a diverging number of parameters
• Consistent group selection in high-dimensional linear regression
• A note on adaptive group Lasso
• Convergence and sparsity of Lasso and group Lasso in high-dimensional generalized linear models
• On the oracle property of adaptive group Lasso in high-dimensional linear models
• Variable selection in quantile regression
• Some properties of generalized fused Lasso and its applications to high dimensional data
• On the robustness of the generalized fused Lasso to prior specifications
• Adaptive LASSO model selection in a multiphase quantile regression
• Interquantile shrinkage and variable selection in quantile regression
• Regularization and model selection for quantile varying coefficient model with categorical effect modifiers

Cited In (14)

• Multi-block alternating direction method of multipliers for ultrahigh dimensional quantile fused regression
• Elastic net penalized quantile regression model
• Adaptive elastic-net selection in a quantile model with diverging number of variable groups
• Adaptively weighted group Lasso for semiparametric quantile regression models
• Detection of similar successive groups in a model with diverging number of variable groups
• An efficient algorithm for structured sparse quantile regression
• Adaptive group Lasso selection in quantile models
• Supervised homogeneity fusion: a combinatorial approach
• Structured sparse logistic regression with application to lung cancer prediction using breath volatile biomarkers
• Adaptive LASSO model selection in a multiphase quantile regression
• Adaptive sparse group LASSO in quantile regression
• Variable selection and estimation of quantile regression model for stratified data
• Quantile regression feature selection and estimation with grouped variables using Huber approximation
• Interquantile shrinkage in additive models

This page was built for publication: Adaptive fused LASSO in grouped quantile regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2323263)