Globally adaptive quantile regression with ultra-high dimensional data

DOI10.1214/15-AOS1340zbMath1327.62424arXiv1507.00420OpenAlexW1656287659WikidataQ35851923 ScholiaQ35851923MaRDI QIDQ888510

Xuming He, Qi Zheng, Limin Peng

Publication date: 30 October 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.00420

zbMATH Keywords

ultra-high dimensional datavarying covariate effectsadaptive penalized quantile regressionmodel selection oracle property

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Uses Software

• AS 229

Cites Work

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