Variable selection of varying coefficient models in quantile regression

DOI10.1214/12-EJS709zbMath1295.62072OpenAlexW2089705522MaRDI QIDQ1950855

Kwanghun Chung, Hohsuk Noh, Ingrid Van Keilegom

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1341842803

zbMATH Keywords

shrinkage estimatorsecond order cone programmingbasis approximationconsistency in variable selection

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric robustness (62G35) Statistical ranking and selection procedures (62F07)

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Uses Software

• CVX

Cites Work

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• A practical guide to splines
• Second-order cone programming
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• Quantile smoothing splines
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• Identification of Non-Linear Additive Autoregressive Models
• Shrinkage Estimation of the Varying Coefficient Model
• Variable Selection in Nonparametric Varying-Coefficient Models for Analysis of Repeated Measurements
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
• Model Selection and Estimation in Regression with Grouped Variables

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