Quantile regression and variable selection of single-index coefficient model

DOI10.1007/s10463-016-0558-9zbMath1382.62021MaRDI QIDQ2409394

Yazhao Lv, Weihua Zhao, Ri-quan Zhang, Ji-cai Liu

Publication date: 11 October 2017

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-016-0558-9

zbMATH Keywords

asymptotic normalityquantile regressionvariable selectionoracle propertyadaptive Lassosingle index coefficient model

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J07: Ridge regression; shrinkage estimators (Lasso)

62G20: Asymptotic properties of nonparametric inference

62J12: Generalized linear models (logistic models)

Related Items

High-dimensional Varying Index Coefficient Quantile Regression Model, Estimation and variable selection for a class of quantile regression models with multiple index, Local Walsh-average regression for single index varying coefficient models, Single-index quantile regression with left truncated data

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