Modified check loss for efficient estimation via model selection in quantile regression

DOI10.1080/02664763.2020.1753023OpenAlexW3016977106MaRDI QIDQ5861569

Hang Joon Kim, Yoonsuh Jung, Steven N. MacEachern

Publication date: 1 March 2022

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

Full work available at URL: https://doi.org/10.1080/02664763.2020.1753023

zbMATH Keywords

quantile regressioncross-validationcheck lossquantile regression splinequantile smoothing spline

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (1)

Efficient information-based criteria for model selection in quantile regression

Uses Software

• R
• quantreg
• fields
• AER
• rqPen
• GitHub

Cites Work

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• Improvements on Cross-Validation: The .632+ Bootstrap Method
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Quantile regression via iterative least squares computations
• Efficient quantile regression for heteroscedastic models
• Linear Model Selection by Cross-Validation

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