Interquantile shrinkage in additive models

Abstract

In this paper, we investigate the commonality of nonparametric component functions among different quantile levels in additive regression models. We propose two fused adaptive group Least Absolute Shrinkage and Selection Operator penalties to shrink the difference of functions between neighbouring quantile levels. The proposed methodology is able to simultaneously estimate the nonparametric functions and identify the quantile regions where functions are unvarying, and thus is expected to perform better than standard additive quantile regression when there exists a region of quantile levels on which the functions are unvarying. Under some regularity conditions, the proposed penalised estimators can theoretically achieve the optimal rate of convergence and identify the true varying/unvarying regions consistently. Simulation studies and a real data application show that the proposed methods yield good numerical results.