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Sparse quantile regression (Q6108347)

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scientific article; zbMATH DE number 7704531

Language	Label	Description	Also known as
English	Sparse quantile regression	scientific article; zbMATH DE number 7704531

Statements

scholarly article

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Sparse quantile regression (English)

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Journal of Econometrics

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publication date

29 June 2023

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full work available at URL

https://arxiv.org/abs/2006.11201

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zbMATH Keywords

quantile regression

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sparse estimation

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mixed integer optimization

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finite sample property

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conformal prediction

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Hamming distance

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MaRDI profile type

MaRDI publication profile

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\(\ell_1\)-penalized quantile regression in high-dimensional sparse models

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Uniform post-selection inference for least absolute deviation regression and other Z-estimation problems

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Valid Post-Selection Inference in High-Dimensional Approximately Sparse Quantile Regression Models

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Best subset selection via a modern optimization lens

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Sparse high-dimensional regression: exact scalable algorithms and phase transitions

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A Bennett concentration inequality and its application to suprema of empirical processes

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Statistics for high-dimensional data. Methods, theory and applications.

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Variable selection with Hamming loss

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Efficient semiparametric estimation of multi-valued treatment effects under ignorability

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Best subset binary prediction

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Binary classification with covariate selection through ℓ0-penalised empirical risk minimisation

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Adaptive robust variable selection

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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Strong oracle optimality of folded concave penalized estimation

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Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms

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Smoothed quantile regression with large-scale inference

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Regression Quantiles

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Oracle Estimation of a Change Point in High-Dimensional Quantile Regression

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Demystifying the Integrated Tail Probability Expectation Formula

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Oracle inequalities for sparse additive quantile regression in reproducing kernel Hilbert space

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Risk bounds for statistical learning

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Smooth minimization of non-smooth functions

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Minimax Rates of Estimation for High-Dimensional Linear Regression Over $\ell_q$-Balls

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On the conditions used to prove oracle results for the Lasso

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The \(L_1\) penalized LAD estimator for high dimensional linear regression

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Wild residual bootstrap inference for penalized quantile regression with heteroscedastic errors

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Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension

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Nearly unbiased variable selection under minimax concave penalty

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Globally adaptive quantile regression with ultra-high dimensional data

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High dimensional censored quantile regression

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One-step sparse estimates in nonconcave penalized likelihood models

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Identifiers

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10.1016/j.jeconom.2023.02.014

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6108347

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