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

DOI10.1016/J.SPL.2012.03.039MaRDI QIDQ449371zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1034037 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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• Nearly unbiased variable selection under minimax concave penalty
• Nonparametric Estimation of an Additive Quantile Regression Model
• On Additive Conditional Quantiles With High-Dimensional Covariates
• On Bayes procedures
• Quantile and probability curves without crossing
• Quantile regression in partially linear varying coefficient models
• Quantile regression with varying coefficients
• Quantile regression.
• Shrinkage tuning parameter selection with a diverging number of parameters
• The Adaptive Lasso and Its Oracle Properties
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection in quantile regression

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
• Model averaging marginal regression for high dimensional conditional quantile prediction
• A generalized class of skew distributions and associated robust quantile regression models
• High-dimensional Varying Index Coefficient Quantile Regression Model
• Estimation and Inference for Multi-Kink Quantile Regression

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