Adaptive fused LASSO in grouped quantile regression

DOI10.1080/15598608.2016.1258601MaRDI QIDQ2323263zbMATH OpenOpenAlexFDO

Authors Gabriela Ciuperca

Publication date 30 August 2019

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

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

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)

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.

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Cited in

(14)

• Multi-block alternating direction method of multipliers for ultrahigh dimensional quantile fused regression
• Elastic net penalized quantile regression model
• Adaptively weighted group Lasso for semiparametric quantile regression models
• Adaptive elastic-net selection in a quantile model with diverging number of variable groups
• 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

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