Variable selection via composite quantile regression with dependent errors

DOI10.1111/STAN.12035MaRDI QIDQ6066191zbMATH OpenFDO

Authors Yanlin Tang, Xin-Yuan Song, Zhongyi Zhu

Publication date 12 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/STAN.12035

zbMATH Keywords

adaptive Lassoquantile regressionshort-range dependencestrictly stationaryuniversal lower bound

Mathematics Subject Classification ID

Parametric inference (62Fxx) Nonparametric inference (62Gxx) Linear inference, regression (62Jxx)

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Cites work

• \(M\)-estimation of linear models with dependent errors
• A note on L-estimates for linear models
• A unified variable selection approach for varying coefficient models
• Composite quantile regression and the oracle model selection theory
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Estimating the dimension of a model
• scientific article; zbMATH DE number 3755673 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Limiting distributions for \(L_1\) regression estimators under general conditions
• M-estimation for linear models with spatially-correlated errors
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Oracle model selection for nonlinear models based on weighted composite quantile regression
• Penalized composite quasi-likelihood for ultrahigh dimensional variable selection
• Quantile regression.
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regression Quantiles
• Robust modelling of DTARCH models
• The Adaptive Lasso and Its Oracle Properties
• Variable selection in quantile regression
• Weighted composite quantile regression estimation of DTARCH models

Cited in

(6)

• Test by adaptive Lasso quantile method for real-time detection of a change-point
• Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression
• Composite quantile estimation in partial functional linear regression model based on polynomial spline
• Variable selection and coefficient estimation via composite quantile regression with randomly censored data
• Improved composite quantile regression and variable selection with nonignorable dropouts
• Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors

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