Model selection in high-dimensional quantile regression with seamless L₀ penalty
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Publication:900968
DOI10.1016/J.SPL.2015.09.011zbMATH Open1328.62147arXiv1506.01648OpenAlexW2963709093MaRDI QIDQ900968FDOQ900968
Authors: Gabriela Ciuperca 
Publication date: 23 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: In this paper we are interested in parameters estimation of linear model when number of parameters increases with sample size. Without any assumption about moments of the model error, we propose and study the seamless quantile estimator. For this estimator we first give the convergence rate. Afterwards, we prove that it correctly distinguishes between zero and nonzero parameters and that the estimators of the nonzero parameters are asymptotically normal. A consistent BIC criterion to select the tuning parameters is given.
Full work available at URL: https://arxiv.org/abs/1506.01648
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Cites Work
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Cited In (11)
- Variable selection via generalized SELO-penalized linear regression models
- Variable selection via generalized SELO-penalized Cox regression models
- \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
- Moderate deviations for quantile regression processes
- The growth rate of significant regressors for high dimensional data
- Adaptive elastic-net selection in a quantile model with diverging number of variable groups
- Regularized simultaneous model selection in multiple quantiles regression
- Adaptive group Lasso selection in quantile models
- Quantile universal threshold
- Automatic selection by penalized asymmetric L q -norm in a high-dimensional model with grouped variables
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