An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity

DOI10.1080/00949655.2021.2002861OpenAlexW4200496032MaRDI QIDQ5083335

Yi Zhang, Xiang Li, Jun Zhao

Publication date: 22 June 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.2002861

zbMATH Keywords

heterogeneitynon-convex optimizationhigh-dimensional datathresholdexpectile regression

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• GLIM
• CVX
• CVXR

Cites Work

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