Censored quantile regression processes under dependence and penalization
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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.
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- scientific article; zbMATH DE number 1211747 (Why is no real title available?)
- scientific article; zbMATH DE number 1944026 (Why is no real title available?)
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Cited in
(7)- Penalized regression across multiple quantiles under random censoring
- The quantile process under random censoring
- Variable selection in censored quantile regression with high dimensional data
- Quantile regression under memory constraint
- Scalable estimation and inference for censored quantile regression process
- Penalized composite quantile estimation for censored regression model with a diverging number of parameters
- High dimensional censored quantile regression
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