Variable selection in the single-index quantile regression model with high-dimensional covariates

被引：2
|
作者：
Kuruwita, C. N. [1 ]
机构：
[1] Hamilton Coll, Dept Math & Stat, Clinton, NY 13323 USA
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2023年 / 52卷 / 03期
关键词：
High-dimensional covariates; Quantile regression; Variable selection;
D O I：
10.1080/03610918.2021.1874986
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the effects of high-dimensional covariates in the single-index quantile regression model. An improved version of an estimation algorithm is proposed with variable selection. Finite sample performance is studied through an extensive simulation study which highlights the performance of the new procedure. A data analysis on US crime data is given that exhibits the usefulness of the proposed methodology.
引用
收藏
页码：1120 / 1132
页数：13
相关论文
共 50 条
  • [1] Quantile regression and variable selection for the single-index model
    Lv, Yazhao
    Zhang, Riquan
    Zhao, Weihua
    Liu, Jicai
    [J]. JOURNAL OF APPLIED STATISTICS, 2014, 41 (07) : 1565 - 1577
  • [2] Robust Variable Selection Based on Penalized Composite Quantile Regression for High-Dimensional Single-Index Models
    Song, Yunquan
    Li, Zitong
    Fang, Minglu
    [J]. MATHEMATICS, 2022, 10 (12)
  • [3] Quantile regression and variable selection of single-index coefficient model
    Weihua Zhao
    Riquan Zhang
    Yazhao Lv
    Jicai Liu
    [J]. Annals of the Institute of Statistical Mathematics, 2017, 69 : 761 - 789
  • [4] Quantile regression and variable selection of single-index coefficient model
    Zhao, Weihua
    Zhang, Riquan
    Lv, Yazhao
    Liu, Jicai
    [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2017, 69 (04) : 761 - 789
  • [5] Variable selection in heteroscedastic single-index quantile regression
    Christou, Eliana
    Akritas, Michael G.
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (24) : 6019 - 6033
  • [6] A high-dimensional single-index regression for interactions between treatment and covariates
    Park, Hyung
    Tarpey, Thaddeus
    Petkova, Eva
    Ogden, R. Todd
    [J]. STATISTICAL PAPERS, 2024, 65 (07) : 4025 - 4056
  • [7] Quantile regression and variable selection of partial linear single-index model
    Yazhao Lv
    Riquan Zhang
    Weihua Zhao
    Jicai Liu
    [J]. Annals of the Institute of Statistical Mathematics, 2015, 67 : 375 - 409
  • [8] Quantile regression and variable selection of partial linear single-index model
    Lv, Yazhao
    Zhang, Riquan
    Zhao, Weihua
    Liu, Jicai
    [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2015, 67 (02) : 375 - 409
  • [9] Composite quantile regression and variable selection in single-index coefficient model
    Zhang, Riquan
    Lv, Yazhao
    Zhao, Weihua
    Liu, Jicai
    [J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2016, 176 : 1 - 21
  • [10] Estimation and variable selection in single-index composite quantile regression
    Liu, Huilan
    Yang, Hu
    [J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2017, 46 (09) : 7022 - 7039
12345