Hierarchically penalized quantile regression with multiple responses

DOI10.1016/J.JKSS.2018.05.004zbMath1406.62038OpenAlexW2808916414MaRDI QIDQ1622121

Jaeshin Park, Seung Jun Shin, Jongkyeong Kang, Sungwan Bang

Publication date: 12 November 2018

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.2018.05.004

zbMATH Keywords

regularizationquantile regressionvariable selectionoracle propertymultivariate responsehierarchical penalty

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• Adaptive sup-norm regularized simultaneous multiple quantiles regression
• Hierarchically penalized quantile regression

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