Composite quantile regression and the oracle model selection theory
From MaRDI portal
(Redirected from Publication:930648)
Abstract: Coefficient estimation and variable selection in multiple linear regression is routinely done in the (penalized) least squares (LS) framework. The concept of model selection oracle introduced by Fan and Li [J. Amer. Statist. Assoc. 96 (2001) 1348--1360] characterizes the optimal behavior of a model selection procedure. However, the least-squares oracle theory breaks down if the error variance is infinite. In the current paper we propose a new regression method called composite quantile regression (CQR). We show that the oracle model selection theory using the CQR oracle works beautifully even when the error variance is infinite. We develop a new oracular procedure to achieve the optimal properties of the CQR oracle. When the error variance is finite, CQR still enjoys great advantages in terms of estimation efficiency. We show that the relative efficiency of CQR compared to the least squares is greater than 70% regardless the error distribution. Moreover, CQR could be much more efficient and sometimes arbitrarily more efficient than the least squares. The same conclusions hold when comparing a CQR-oracular estimator with a LS-oracular estimator.
Recommendations
- General composite quantile regression: Theory and methods
- Composite quantile regression and variable selection in single-index coefficient model
- A note on the efficiency of composite quantile regression
- Composite quantile regression for linear errors-in-variables models
- Composite quantile regression and variable selection of the partial linear single-index models
Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 3249395 (Why is no real title available?)
- Better Subset Regression Using the Nonnegative Garrote
- Composite quantile regression and the oracle model selection theory
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Quantile regression.
- Reappraising Medfly Longevity
- Statistical challenges with high dimensionality: feature selection in knowledge discovery
- The Adaptive Lasso and Its Oracle Properties
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(only showing first 100 items - show all)- An adaptive composite quantile approach to dimension reduction
- Composite quantile regression for varying-coefficient single-index models
- Penalized regression across multiple quantiles under random censoring
- Shrinkage estimation of varying covariate effects based on quantile regression
- Robust Variable Selection With Exponential Squared Loss
- Two step composite quantile regression for single-index models
- Variable selection in high-dimensional partially linear additive models for composite quantile regression
- The quantile process under random censoring
- Local Walsh-average regression
- Weighted composite quantile estimation and variable selection method for censored regression model
- Variable selection and coefficient estimation via composite quantile regression with randomly censored data
- Marked empirical processes for non-stationary time series
- An efficient and robust variable selection method for longitudinal generalized linear models
- Forecaster's dilemma: extreme events and forecast evaluation
- Robust structure identification and variable selection in partial linear varying coefficient models
- Regression with outlier shrinkage
- Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
- Strong oracle optimality of folded concave penalized estimation
- Composite quantile regression and variable selection in single-index coefficient model
- Bayesian regularized regression based on composite quantile method
- On Bayesian quantile regression using a pseudo-joint asymmetric Laplace likelihood
- Estimation in partial linear model with spline modal function
- Sparse group variable selection based on quantile hierarchical Lasso
- Simultaneous multiple non-crossing quantile regression estimation using kernel constraints
- Estimation and variable selection in single-index composite quantile regression
- Large covariance estimation through elliptical factor models
- Composite quantile regression estimation of linear error-in-variable models using instrumental variables
- Oracle model selection for nonlinear models based on weighted composite quantile regression
- Bayesian joint-quantile regression
- Quantile regression methods with varying-coefficient models for censored data
- Adaptive robust variable selection
- Composite hierachical linear quantile regression
- Weighted composite quantile regression for single-index models
- Weighted composite quantile regression estimation and variable selection for varying coefficient models with heteroscedasticity
- Single-index composite quantile regression
- Bayesian composite tobit quantile regression
- Robust reduced-rank modeling via rank regression
- Composite quantile regression for massive datasets
- Estimation and test procedures for composite quantile regression with covariates missing at random
- Estimation of high conditional quantiles for heavy-tailed distributions
- Efficient estimation for time-varying coefficient longitudinal models
- Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data
- Composite quantile regression for heteroscedastic partially linear varying-coefficient models with missing censoring indicators
- Weighted composite quantile regression with censoring indicators missing at random
- Variable selection via composite quantile regression with dependent errors
- Weighted Wilcoxon‐Type Smoothly Clipped Absolute Deviation Method
- Bayesian empirical likelihood for quantile regression
- Weighted composite quantile regression for single index model with missing covariates at random
- Estimation for the censored partially linear quantile regression models
- Estimation of linear composite quantile regression using EM algorithm
- Composite quantile regression for linear errors-in-variables models
- Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression
- Empirical likelihood test for high-dimensional two-sample model
- Adaptive composite quantile regressions and their asymptotic relative efficiency
- New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
- Testing in linear composite quantile regression models
- Quantile regression and variable selection of partial linear single-index model
- Heteroscedasticity detection and estimation with quantile difference method
- Robust direction identification and variable selection in high dimensional general single-index models
- Penalized weighted composite quantile estimators with missing covariates
- Single-index composite quantile regression with heteroscedasticity and general error distributions
- On the distribution of the adaptive LASSO estimator
- Composite quantile regression estimation for P-GARCH processes
- Composite quantile regression and the oracle model selection theory
- Weighted composite quantile regression method via empirical likelihood for non linear models
- High-dimensional composite quantile regression: optimal statistical guarantees and fast algorithms
- Empirical likelihood weighted composite quantile regression with partially missing covariates
- An effective method to reduce the computational complexity of composite quantile regression
- Robust estimation and regression with parametric quantile functions
- SCAD penalized rank regression with a diverging number of parameters
- Semiparametric quantile estimation for varying coefficient partially linear measurement errors models
- Empirical likelihood for composite quantile regression modeling
- Semiparametric hierarchical composite quantile regression
- EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
- Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
- Optimal subsampling for composite quantile regression in big data
- A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference
- Rejoinder on: ``Local quantile regression
- Adaptive fused LASSO in grouped quantile regression
- An elastic-net penalized expectile regression with applications
- Improved empirical likelihood inference and variable selection for generalized linear models with longitudinal nonignorable dropouts
- Single-index composite quantile regression for ultra-high-dimensional data
- Sentiment analysis with covariate-assisted word embeddings
- Robust estimation of a location parameter with the integrated Hogg function
- An improvement on the efficiency of complete-case-analysis with nonignorable missing covariate data
- Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors
- Walsh-average based variable selection for varying coefficient models
- Robust estimation for partial functional linear regression model based on modal regression
- Sufficient dimension folding for a functional of conditional distribution of matrix- or array-valued objects
- Weighted quantile regression and testing for varying-coefficient models with randomly truncated data
- Group selection via adjusted weighted least absolute deviation regression
- Learning Multiple Quantiles With Neural Networks
- Robust and efficient estimating equations for longitudinal data partial linear models and its applications
- Combining regression quantile estimators
- Robust communication-efficient distributed composite quantile regression and variable selection for massive data
- Variable selection and weighted composite quantile estimation of regression parameters with left-truncated data
- Simultaneous estimation of quantile regression functions using B-splines and total variation penalty
- Conditional SIRS for nonparametric and semiparametric models by marginal empirical likelihood
- Local composite quantile regression smoothing for Harris recurrent Markov processes
- Variable selection for varying coefficient models via kernel based regularized rank regression
This page was built for publication: Composite quantile regression and the oracle model selection theory
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q930648)
