Sparse Wavelet Estimation in Quantile Regression with Multiple Functional Predictors
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Publication:6287623
DOI10.1016/J.CSDA.2018.12.002arXiv1706.02353MaRDI QIDQ6287623FDOQ6287623
Authors: Dengdeng Yu, Li Zhang, Ivan Mizera, Bei Jiang, Linglong Kong 
Publication date: 7 June 2017
Abstract: In this manuscript, we study quantile regression in partial functional linear model where response is scalar and predictors include both scalars and multiple functions. Wavelet basis are adopted to better approximate functional slopes while effectively detect local features. The sparse group lasso penalty is imposed to select important functional predictors while capture shared information among them. The estimation problem can be reformulated into a standard second-order cone program and then solved by an interior point method. We also give a novel algorithm by using alternating direction method of multipliers (ADMM) which was recently employed by many researchers in solving penalized quantile regression problems. The asymptotic properties such as the convergence rate and prediction error bound have been established. Simulations and a real data from ADHD-200 fMRI data are investigated to show the superiority of our proposed method.
Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Ridge regression; shrinkage estimators (Lasso) (62J07) Functional data analysis (62R10)
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