Model selection in high-dimensional quantile regression with seamless \(L_0\) penalty

DOI10.1016/j.spl.2015.09.011zbMath1328.62147arXiv1506.01648OpenAlexW2963709093MaRDI QIDQ900968

Gabriela Ciuperca

Publication date: 23 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.01648

zbMATH Keywords

quantile regressionBIC criterionhigh-dimensionoracle propertiesseamless \(L_0\) penalty

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Related Items (5)

Adaptive group Lasso selection in quantile models ⋮ Variable selection via generalized SELO-penalized linear regression models ⋮ Variable selection via generalized SELO-penalized Cox regression models ⋮ Adaptive elastic-net selection in a quantile model with diverging number of variable groups ⋮ Moderate deviations for quantile regression processes

Cites Work

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• Variable selection and estimation in generalized linear models with the seamless ${\it L}_{{\rm 0}}$ penalty
• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• A general theory of concave regularization for high-dimensional sparse estimation problems

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