QuantRegGLasso
CRANQuantRegGLassoMaRDI QIDQ5977946
Adaptively Weighted Group Lasso for Semiparametric Quantile Regression Models
Ching-Kang Ing, Toshio Honda, Wen-Ting Wang, Wei-Ying Wu
Last update: 16 January 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.0.0
Implements an adaptively weighted group Lasso procedure for simultaneous variable selection and structure identification in varying coefficient quantile regression models and additive quantile regression models with ultra-high dimensional covariates. The methodology, grounded in a strong sparsity condition, establishes selection consistency under certain weight conditions. To address the challenge of tuning parameter selection in practice, a BIC-type criterion named high-dimensional information criterion (HDIC) is proposed. The Lasso procedure, guided by HDIC-determined tuning parameters, maintains selection consistency. Theoretical findings are strongly supported by simulation studies. (Toshio Honda, Ching-Kang Ing, Wei-Ying Wu, 2019, <doi:10.3150/18-BEJ1091>).
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