Adaptive LASSO model selection in a multiphase quantile regression
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Publication:2953450
DOI10.1080/02331888.2016.1151427zbMath1353.62075arXiv1309.1262OpenAlexW3101290291MaRDI QIDQ2953450
Publication date: 4 January 2017
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.1262
Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)
Related Items (11)
Variable selection in high-dimensional linear model with possibly asymmetric errors ⋮ Automatic variable selection in a linear model on massive data ⋮ Adaptive group Lasso selection in quantile models ⋮ Multiple change-points estimation in linear regression models via an adaptive Lasso expectile loss function ⋮ Real-time detection of a change-point in a linear expectile model ⋮ Test by adaptive Lasso quantile method for real-time detection of a change-point ⋮ Solving multistage stochastic linear programming via regularized linear decision rules: an application to hydrothermal dispatch planning ⋮ Quantile regression for large-scale data via sparse exponential transform method ⋮ Real time change-point detection in a nonlinear quantile model ⋮ Changepoint detection by the quantile Lasso method ⋮ Adaptive fused LASSO in grouped quantile regression
Cites Work
- The Adaptive Lasso and Its Oracle Properties
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- Simultaneous estimation and variable selection in median regression using Lasso-type penalty
- Composite quantile regression and the oracle model selection theory
- Simultaneous change point analysis and variable selection in a regression problem
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- Strong representations for LAD estimators in linear models
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- Empirical Likelihood Ratio Test for a Change-Point in Linear Regression Model
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
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