Gradient-induced Model-free Variable Selection with Composite Quantile Regression
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Publication:4571220
DOI10.5705/ss.202016.0222zbMath1394.62043MaRDI QIDQ4571220
Xin He, Junhui Wang, Shao-Gao Lv
Publication date: 6 July 2018
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d5695081d39e4b4007dce4deebcdafcd391952df
quantile regression; variable selection; sparsity; Lasso; reproducing kernel Hilbert space (RKHS); learning gradients
62G08: Nonparametric regression and quantile regression
62J07: Ridge regression; shrinkage estimators (Lasso)
62G20: Asymptotic properties of nonparametric inference
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