Segmented model selection in quantile regression using the minimum description length principle

DOI10.1080/01621459.2014.889022MaRDI QIDQ4975574zbMATH OpenOpenAlexFDO

Authors Alexander Aue, Rex C. Y. Cheung, Ming Zhong, Thomas C. M. Lee

Publication date 7 August 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://escholarship.org/uc/item/53p322nb

zbMATH Keywords

genetic algorithmslarge \(p\)minimum description lengthpiecewise modelingsmall \(n\)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An Introduction to Coding Theory and the Two-Part Minimum Description Length Principle
• Bent line quantile regression with application to an allometric study of land mammals' speed and mass
• Consistency of minimum description length model selection for piecewise stationary time series models
• Detecting Differential Expressions in GeneChip Microarray Studies
• Estimating structural changes in regression quantiles
• Estimation of multiple-regime regressions with least absolutes deviation
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Inference on the Quantile Regression Process
• Model Selection and the Principle of Minimum Description Length
• On image segmentation using information theoretic criteria
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• Quantile Regression in Reproducing Kernel Hilbert Spaces
• Reappraising Medfly Longevity
• Regression Quantiles
• Regularized simultaneous model selection in multiple quantiles regression
• Shrinkage estimation of the varying coefficient model
• Structural Break Estimation for Nonstationary Time Series Models
• Structural breaks in time series
• Testing for parameter stability in quantile regression models
• Testing for structural change in regression quantiles
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(14)

• Multiscale change-point segmentation: beyond step functions
• A quasi-Bayesian change point detection with exchangeable weights
• A new model selection procedure based on dynamic quantile regression
• Real time change-point detection in a nonlinear quantile model
• Detecting abrupt changes in the spectra of high-energy astrophysical sources
• Alternating Pruned Dynamic Programming for Multiple Epidemic Change-Point Estimation
• Rank-based multiple change-point detection
• Bayesian bent line quantile regression model
• Robust bent line regression
• Multiscale Quantile Segmentation
• Comments on: ``Extensions of some classical methods in change point analysis
• Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression
• Change-points analysis for generalized integer-valued autoregressive model via minimum description length principle
• Data-driven estimation for multithreshold accelerated failure time model

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