Penalized high‐dimensional M‐quantile regression: From L1 to Lp optimization
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Publication:5094256
DOI10.1002/cjs.11597zbMath1492.62075MaRDI QIDQ5094256
Weiping Zhang, Xiao Guo, Jie Hu, Yu Chen
Publication date: 2 August 2022
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11597
asymptotics; variable selection; penalized regression; M-quantile regression; \(L^p\)-quantile regression
62F12: Asymptotic properties of parametric estimators
62G08: Nonparametric regression and quantile regression
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