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

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Publication:2429925

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DOI10.1214/10-AOS827zbMath1209.62064arXiv0904.2931OpenAlexW3125188740WikidataQ105192809 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

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear inference, regression (62J99) Inference from stochastic processes (62M99)

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