Robust variable selection and estimation in threshold regression model

DOI10.1007/S10255-020-0939-YzbMath1437.62279OpenAlexW3015513802MaRDI QIDQ1987583

Yun-qi Zhang, Bo-wen Li, Nian Sheng Tang

Publication date: 15 April 2020

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-020-0939-y

zbMATH Keywords

robust estimationthreshold regressionLasso

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35) Statistical ranking and selection procedures (62F07)

Cites Work

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• Sample Splitting and Threshold Estimation
• Testing for Change Points in Time Series
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• The Lasso for High Dimensional Regression with a Possible Change Point
• Robust Statistics

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