Composite quantile regression and the oracle model selection theory
From MaRDI portal
Publication:930648
DOI10.1214/07-AOS507zbMATH Open1360.62394arXiv0806.2905OpenAlexW1996742192MaRDI QIDQ930648FDOQ930648
Publication date: 1 July 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0806.2905
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
- The Adaptive Lasso and Its Oracle Properties
- Reappraising Medfly Longevity
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Title not available (Why is that?)
- Quantile regression.
- Title not available (Why is that?)
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Better Subset Regression Using the Nonnegative Garrote
- Statistical challenges with high dimensionality: feature selection in knowledge discovery
- Composite quantile regression and the oracle model selection theory
Cited In (only showing first 100 items - show all)
- An improvement on the efficiency of complete-case-analysis with nonignorable missing covariate data
- Variable selection for varying coefficient models via kernel based regularized rank regression
- Simultaneous estimation of quantile regression functions using B-splines and total variation penalty
- Adaptively weighted kernel regression
- Scoring predictions at extreme quantiles
- Distributed penalized modal regression for massive data
- An efficient estimation for the parameter in additive partially linear models with missing covariates
- Composite kernel quantile regression
- A lack-of-fit test for quantile regression process models
- Robust estimation for partial functional linear regression models based on FPCA and weighted composite quantile regression
- Robust estimation for partial functional linear regression model based on modal regression
- Robust estimation of a location parameter with the integrated Hogg function
- Weighted quantile regression and testing for varying-coefficient models with randomly truncated data
- General composite quantile regression: Theory and methods
- Learning Multiple Quantiles With Neural Networks
- Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
- A note on quantile feature screening via distance correlation
- Sufficient dimension folding for a functional of conditional distribution of matrix- or array-valued objects
- Robust and efficient estimating equations for longitudinal data partial linear models and its applications
- Local composite quantile regression smoothing for Harris recurrent Markov processes
- Walsh-average based variable selection for varying coefficient models
- Robust communication-efficient distributed composite quantile regression and variable selection for massive data
- Composite quantile estimation in partial functional linear regression model with dependent errors
- A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference
- Robust estimation for partially linear models with large-dimensional covariates
- Adaptive fused LASSO in grouped quantile regression
- Rejoinder on: ``Local quantile regression
- Bayesian bridge-randomized penalized quantile regression
- Improved empirical likelihood inference and variable selection for generalized linear models with longitudinal nonignorable dropouts
- Sentiment analysis with covariate-assisted word embeddings
- A new robust model-free feature screening method for ultra-high dimensional right censored data
- Econometric modeling of risk measures: a selective review of the recent literature
- An elastic-net penalized expectile regression with applications
- Single-index composite quantile regression for ultra-high-dimensional data
- Combining regression quantile estimators
- Single-index composite quantile regression for massive data
- Linear double autoregression
- Predicting disease risks by matching quantiles estimation for censored data
- Multi-round smoothed composite quantile regression for distributed data
- Optimal subsampling for composite quantile regression model in massive data
- Robust and efficient estimation of nonparametric generalized linear models
- Integrated quantile rank test (iQRAT) for gene-level associations
- GMM quantile regression
- Variable selection and weighted composite quantile estimation of regression parameters with left-truncated data
- Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression
- B-spline estimation for partially linear varying coefficient composite quantile regression models
- Group selection via adjusted weighted least absolute deviation regression
- Conditional SIRS for nonparametric and semiparametric models by marginal empirical likelihood
- Advanced algorithms for penalized quantile and composite quantile regression
- Composite versus model-averaged quantile regression
- Partially linear estimation using sufficient dimension reduction
- Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors
- Optimal subsampling for composite quantile regression in big data
- Robust estimation of nonparametric function via addition sequence
- Globally adaptive quantile regression with ultra-high dimensional data
- Robust and sparse estimators for linear regression models
- Nonparametric inference on smoothed quantile regression process
- Estimation and variable selection for partially functional linear models
- Doubly robust weighted composite quantile regression based on SCAD‐L2
- Robust exponential squared loss-based estimation in semi-functional linear regression models
- Robust variable selection with exponential squared loss for the spatial autoregressive model
- Hypothesis testing of varying coefficients for regional quantiles
- Penalized weighted composite quantile regression for partially linear varying coefficient models with missing covariates
- Efficient estimation and variable selection for infinite variance autoregressive models
- Interquantile shrinkage and variable selection in quantile regression
- A robust regression methodology via M-estimation
- Composite quantile regression estimation for left censored response longitudinal data
- Robust and efficient estimation with weighted composite quantile regression
- Transformation-based estimation
- Robust empirical likelihood for partially linear models via weighted composite quantile regression
- A propensity score adjustment method for regression models with nonignorable missing covariates
- Robust estimation of derivatives using locally weighted least absolute deviation regression
- Data Integration in High Dimension With Multiple Quantiles
- Quantile regression for partially linear varying-coefficient model with censoring indicators missing at random
- Significance testing in quantile regression
- Model averaging based on rank
- Quantile regression under local misspecification
- Smoothed empirical likelihood inference and variable selection for quantile regression with nonignorable missing response
- Robust spline-based variable selection in varying coefficient model
- Composite quantile regression for single-index models with asymmetric errors
- Hypothesis testing for regional quantiles
- Sparse wavelet estimation in quantile regression with multiple functional predictors
- A weighted Wilcoxon estimate for the covariate-specific ROC curve
- A moving average Cholesky factor model in covariance modeling for composite quantile regression with longitudinal data
- Adaptive group Lasso selection in quantile models
- Globally Adaptive Longitudinal Quantile Regression With High Dimensional Compositional Covariates
- Composite quantile periodogram for spectral analysis
- New efficient estimation and variable selection in models with single-index structure
- Robust Bayesian regularized estimation based on \(t\) regression model
- Composite quantile regression for correlated data
- Two-layer EM algorithm for ALD mixture regression models: a new solution to composite quantile regression
- The optimal selection for restricted linear models with average estimator
- Rapid penalized likelihood-based outlier detection via heteroskedasticity test
- Adaptive LASSO model selection in a multiphase quantile regression
- Copula and composite quantile regression-based estimating equations for longitudinal data
- Model selection in high-dimensional quantile regression with seamless \(L_0\) penalty
- Composite quantile regression for ultra-high dimensional semiparametric model averaging
- Quantile regression for general spatial panel data models with fixed effects
- Empirical likelihood based modal regression
- Wavelet-based LASSO in functional linear quantile 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)
