Scalable estimation and inference for censored quantile regression process
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Publication:6414809
DOI10.1214/22-AOS2214arXiv2210.12629MaRDI QIDQ6414809FDOQ6414809
Authors: Xuming He, Xiaoou Pan, Kean Ming Tan, Wen-Xin Zhou 
Publication date: 23 October 2022
Abstract: Censored quantile regression (CQR) has become a valuable tool to study the heterogeneous association between a possibly censored outcome and a set of covariates, yet computation and statistical inference for CQR have remained a challenge for large-scale data with many covariates. In this paper, we focus on a smoothed martingale-based sequential estimating equations approach, to which scalable gradient-based algorithms can be applied. Theoretically, we provide a unified analysis of the smoothed sequential estimator and its penalized counterpart in increasing dimensions. When the covariate dimension grows with the sample size at a sublinear rate, we establish the uniform convergence rate (over a range of quantile indexes) and provide a rigorous justification for the validity of a multiplier bootstrap procedure for inference. In high-dimensional sparse settings, our results considerably improve the existing work on CQR by relaxing an exponential term of sparsity. We also demonstrate the advantage of the smoothed CQR over existing methods with both simulated experiments and data applications.
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Censored data models (62N01) Nonparametric statistical resampling methods (62G09)
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