Variable selection in quantile regression when the models have autoregressive errors

DOI10.1016/J.JKSS.2014.07.002MaRDI QIDQ488595zbMATH OpenOpenAlexFDO

Authors Yaeji Lim, Hee-Seok Oh

Publication date 26 January 2015

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2014.07.002

zbMATH Keywords

variable selectionSCAD penaltyES-algorithmpseudo dataautoregressive errorpenalized quantile regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A note on the monotonicity of the ES algorithm
• Autoregressive process modeling via the Lasso procedure
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Penalized regression models with autoregressive error terms
• Quantile Autoregression
• Quantile regression.
• Regression Models with Time Series Errors
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• The Role of Pseudo Data for Robust Smoothing with Application to Wavelet Regression
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection in quantile regression
• Variable selection using MM algorithms

Cited in

(12)

• Segmented model selection in quantile regression using the minimum description length principle
• Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation
• Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors
• Likelihood-based quantile autoregressive distributed lag models and its applications
• Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors
• Variable selection via composite quantile regression with dependent errors
• Penalized regression models with autoregressive error terms
• Identification of Wiener model with internal noise using a cubic spline approximation-Bayesian composite quantile regression algorithm
• Exponential squared loss based robust variable selection of AR models
• Quantile regression for linear models with autoregressive errors using EM algorithm
• Variable selection of the spatial autoregressive quantile model with fixed effects
• Variable selection in quantile regression

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