Gradient-induced Model-free Variable Selection with Composite Quantile Regression

DOI10.5705/ss.202016.0222zbMath1394.62043OpenAlexW2605428180MaRDI QIDQ4571220

Xin He, Junhui Wang, Shao-Gao Lv

Publication date: 6 July 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d5695081d39e4b4007dce4deebcdafcd391952df

zbMATH Keywords

quantile regressionvariable selectionsparsityLassoreproducing kernel Hilbert space (RKHS)learning gradients

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20)

Related Items (3)

Bayesian reciprocal LASSO quantile regression ⋮ Detection of similar successive groups in a model with diverging number of variable groups ⋮ Learning sparse conditional distribution: an efficient kernel-based approach

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