Censored quantile regression processes under dependence and penalization

DOI10.1214/14-EJS54zbMATH Open1349.62488arXiv1208.5467OpenAlexW2111581976MaRDI QIDQ471971FDOQ471971

Authors: Jens Wagener, Stanislav Volgushev, Holger Dette 

Publication date: 18 November 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We consider quantile regression processes from censored data under dependent data structures and derive a uniform Bahadur representation for those processes. We also consider cases where the dimension of the parameter in the quantile regression model is large. It is demonstrated that traditional penalized estimators such as the adaptive lasso yield sub-optimal rates if the coefficients of the quantile regression cross zero. New penalization techniques are introduced which are able to deal with specific problems of censored data and yield estimates with an optimal rate. In contrast to most of the literature, the asymptotic analysis does not require the assumption of independent observations, but is based on rather weak assumptions, which are satisfied for many kinds of dependent data.

Full work available at URL: https://arxiv.org/abs/1208.5467

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zbMATH Keywords

variable selectionBahadur representationcensored dataquantile regressiondependent dataweak convergence

Mathematics Subject Classification ID

Censored data models (62N01) Estimation in survival analysis and censored data (62N02) Ridge regression; shrinkage estimators (Lasso) (62J07) Central limit and other weak theorems (60F05)

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Cited In (7)

• Scalable estimation and inference for censored quantile regression process
• High dimensional censored quantile regression
• Penalized composite quantile estimation for censored regression model with a diverging number of parameters
• Variable selection in censored quantile regression with high dimensional data
• Quantile regression under memory constraint
• Penalized regression across multiple quantiles under random censoring
• The quantile process under random censoring

Uses Software

• quantreg

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