Sparse quantile regression
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Abstract: We consider both -penalized and -constrained quantile regression estimators. For the -penalized estimator, we derive an exponential inequality on the tail probability of excess quantile prediction risk and apply it to obtain non-asymptotic upper bounds on the mean-square parameter and regression function estimation errors. We also derive analogous results for the -constrained estimator. The resulting rates of convergence are nearly minimax-optimal and the same as those for -penalized and non-convex penalized estimators. Further, we characterize expected Hamming loss for the -penalized estimator. We implement the proposed procedure via mixed integer linear programming and also a more scalable first-order approximation algorithm. We illustrate the finite-sample performance of our approach in Monte Carlo experiments and its usefulness in a real data application concerning conformal prediction of infant birth weights (with and up to ). In sum, our -based method produces a much sparser estimator than the -penalized and non-convex penalized approaches without compromising precision.
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Cited in
(8)- Sparse wavelet estimation in quantile regression with multiple functional predictors
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