High-dimensional composite quantile regression: optimal statistical guarantees and fast algorithms

DOI10.1214/23-ejs2147arXiv2208.09817MaRDI QIDQ6184871

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Publication date: 5 January 2024

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

Full work available at URL: https://arxiv.org/abs/2208.09817

zbMATH Keywords

asymptotic efficiencyhigh-dimensional datasparsityoracle propertycomposite quantile regressionconvolution smoothing

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Foundations and philosophical topics in statistics (62A01)

Cites Work

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