A note on the consistency of Schwarz's criterion in linear quantile regression with the SCAD penalty

DOI10.1016/J.SPL.2012.03.039zbMATH Open1456.62144OpenAlexW2165952977MaRDI QIDQ449371FDOQ449371

Authors: Heng Lian 

Publication date: 30 August 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.039

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zbMATH Keywords

quantile regressionSCAD penaltyBayesian information criterion (BIC)Schwarz information criterion (SIC)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

Cites Work

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Cited In (11)

• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• Principal varying coefficient estimator for high-dimensional models
• Robust integrative analysis via quantile regression with homogeneity and sparsity
• A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction
• Estimation and variable selection for quantile partially linear single-index models
• Screening and selection for quantile regression using an alternative measure of variable importance
• High-dimensional quantile varying-coefficient models with dimension reduction
• A generalized class of skew distributions and associated robust quantile regression models
• Model averaging marginal regression for high dimensional conditional quantile prediction
• High-dimensional Varying Index Coefficient Quantile Regression Model
• Estimation and Inference for Multi-Kink Quantile Regression

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