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

被引：3

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

页码：1120 / 1132

页数：13

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