Quantile regression and variable selection of single-index coefficient model
The single-index coefficient model \[ Y=g(X^{\top}\theta)^{\top}Z+\epsilon \] is studied, where \(Y\) is the response variable, \(X\) and \(Z\) are two covariates random vectors, \(\epsilon\) is the model error, \(g\) is an unknown coefficient function vector, and \(\theta \in \mathbb{R}^p\) is the index parameter. For identifiability, \(\|\theta\| =1\) and \(\theta_1>0\) are assumed. A minimizing check loss estimation procedure (MACLE) is proposed in the framework of quantile regression. The estimators are asymptotically normal and achieve the best convergence rate. A variable selection method is investigated by combining the MACLE method with the adaptive Lasso penalty, and the corresponding oracle property is established. Two simulations are conducted with different error settings to assess the finite sample performance of the proposed method. A real-data application is presented.
- Quantile regression for single-index-coefficient regression models
- Composite quantile regression and variable selection in single-index coefficient model
- Quantile regression for the single-index coefficient model
- Quantile regression and variable selection for single-index varying-coefficient models
- Quantile regression and variable selection for the single-index model
- Adaptive Varying-Coefficient Linear Models
- Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory
- An analysis of variance test for normality (complete samples)
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Nearly unbiased variable selection under minimax concave penalty
- New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
- Nonparametric quantile estimations for dynamic smooth coefficient models
- On extended partially linear single-index models
- On the asymptotics of constrained \(M\)-estimation
- Optimal smoothing in single-index models
- Profile empirical-likelihood inferences for the single-index-coefficient regression model
- Quantile regression in varying coefficient models.
- Quantile regression with varying coefficients
- Regression Quantiles
- Single-index composite quantile regression
- Single-index quantile regression
- Statistical inference for a single-index varying-coefficient model
- The Adaptive Lasso and Its Oracle Properties
- Unified LASSO Estimation by Least Squares Approximation
- Variable selection for single-index varying-coefficient model
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Weak and strong uniform consistency of kernel regression estimates
- Single-index quantile regression with left truncated data
- Quantile regression and variable selection of partial linear single-index model
- Quantile regression for single-index-coefficient regression models
- Non-iterative Estimation and Variable Selection in the Single-index Quantile Regression Model
- Composite quantile regression and variable selection in single-index coefficient model
- Variable selection of single-index quantile regression
- Composite quantile regression and variable selection of the partial linear single-index models
- High-dimensional Varying Index Coefficient Quantile Regression Model
- Estimation and variable selection for a class of quantile regression models with multiple index
- Quantile regression and variable selection for the single-index model
- Quantile regression for the single-index coefficient model
- Quantile regression and variable selection for single-index varying-coefficient models
- Local Walsh-average regression for single index varying coefficient models
- Single-index Thresholding in Quantile Regression
- Truncated composite quantile regression with covariates measurement errors
- Local Walsh-average regression for spatial autoregression single index varying coefficient models
- Quantile index coefficient model with variable selection
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