\(\ell_1\)-penalized quantile regression in high-dimensional sparse models

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Publication:2429925


DOI10.1214/10-AOS827zbMath1209.62064arXiv0904.2931WikidataQ105192809 ScholiaQ105192809MaRDI QIDQ2429925

Victor Chernozhukov, Alexandre Belloni

Publication date: 5 April 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.2931

zbMATH Keywords

quantile regression; median regression; sparse models


Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62J99: Linear inference, regression

62M99: Inference from stochastic processes


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