Simultaneous variable selection and parametric estimation for quantile regression

DOI10.1016/J.JKSS.2014.06.003zbMath1311.62061OpenAlexW2020558656MaRDI QIDQ2513796

Wei Xiong, Mao-Zai Tian

Publication date: 29 January 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.06.003

zbMATH Keywords

quantile regressionvariable selectionoracle propertyone-step estimatorBIC-like criterion

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• Composite quantile regression and the oracle model selection theory
• One-step sparse estimates in nonconcave penalized likelihood models
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Estimating the dimension of a model
• Bootstrap methods: another look at the jackknife
• Heuristics of instability and stabilization in model selection
• The risk inflation criterion for multiple regression
• Fitting autoregressive models for prediction
• Regression Quantiles
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
• Tuning parameter selectors for the smoothly clipped absolute deviation method

This page was built for publication: Simultaneous variable selection and parametric estimation for quantile regression