Two-stage online debiased Lasso estimation and inference for high-dimensional quantile regression with streaming data

DOI10.1007/S11424-023-3014-YMaRDI QIDQ6595025zbMATH OpenFDO

Authors Yanjin Peng, Lei Wang

Publication date 29 August 2024

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityquantile regressionadaptive tuningonline updatingdebiased Lasso

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

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• On asymptotically optimal confidence regions and tests for high-dimensional models
• Online Debiasing for Adaptively Collected High-Dimensional Data With Applications to Time Series Analysis
• Online updating method with new variables for big data streams
• Regression Quantiles
• Regularization and Variable Selection Via the Elastic Net
• SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
• Smoothed empirical likelihood confidence intervals for quantile regression parameters with auxiliary information
• Smoothed empirical likelihood inference and variable selection for quantile regression with nonignorable missing response
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(4)

• Two-step online estimation and inference for expected shortfall regression with streaming data
• Online renewable smooth quantile regression
• Sparse and debiased lasso estimation and inference for high-dimensional composite quantile regression with distributed data
• Renewable composite quantile method and algorithm for nonparametric models with streaming data

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