Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression

Chaohui Guo; Hu Yang; Jing Lv

doi:10.1007/s00362-015-0736-5

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Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression

Chaohui Guo Hu Yang Jing Lv

Year: 2015 Journal: Statistical Papers Vol: 58 (4)Pages: 1009-1033 Publisher: Springer Science+Business Media

DOI: 10.1007/s00362-015-0736-5

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Keywords:

Mathematics Robustness (evolution) Estimator Feature selection Quantile regression Quantile Applied mathematics Consistency (knowledge bases) Scad Penalty method Mathematical optimization Statistics Computer science Artificial intelligence

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Control Systems and Identification

Physical Sciences → Engineering → Control and Systems Engineering

Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression

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