Variable selection for additive partial linear quantile regression with missing covariates
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Publication:321935
DOI10.1016/J.JMVA.2016.08.009zbMATH Open1348.62148arXiv1510.00094OpenAlexW2418496546MaRDI QIDQ321935FDOQ321935
Authors: Ben Sherwood 
Publication date: 14 October 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: The standard quantile regression model assumes a linear relationship at the quantile of interest and that all variables are observed. We relax these assumptions by considering a partial linear model while allowing for missing linear covariates. To handle the potential bias caused by missing data we propose a weighted objective function using inverse probability weighting. Our work examines estimators using parametric and nonparametric estimates of the missing probability. For variable selection of the linear terms in the presence of missing data we consider a penalized and weighted objective function using the non-convex penalties MCP or SCAD. Under standard conditions we demonstrate that the penalized estimator has the oracle property including cases where . Theoretical challenges include handling missing data and partial linear models while working with a nonsmooth loss function and a non-convex penalty function. The performance of the method is evaluated using Monte Carlo simulations and our methods are applied to model amount of time sober for patients leaving a rehabilitation center.
Full work available at URL: https://arxiv.org/abs/1510.00094
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Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)
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