Variable-selection consistency of linear quantile regression by validation set approach

DOI10.1016/J.SPL.2025.110431MaRDI QIDQ6991828zbMATH OpenFDO

Authors Suin Kim, Sarang Lee, Nari Shin, Yoonsuh Jung

Publication date 28 April 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110431

zbMATH Keywords

check losscross-validationhigh-dimensional quantile regressionmodel selection

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

• A general theory of concave regularization for high-dimensional sparse estimation problems
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• Adaptive robust variable selection
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• High-dimensional graphs and variable selection with the Lasso
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Linear Model Selection by Cross-Validation
• Model selection via multifold cross validation
• On parameters of increasing dimensions
• Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
• Quantile regression.
• Regression Quantiles
• SCAD‐penalized quantile regression for high‐dimensional data analysis and variable selection
• The Adaptive Lasso and Its Oracle Properties
• Variable selection in quantile regression
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(1)

• Adaptive elastic net penalized high-dimensional quantile regression models with generalized coordinate descent algorithm

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