Variable selection in expectile regression

被引：24

作者：

Zhao, Jun ^{[1
]}

Zhang, Yi ^{[1
]}

机构：

[1] Zhejiang Univ, Sch Math Sci, Hangzhou 310027, Zhejiang, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2018年 / 47卷 / 07期

关键词：

Expectile regression; SCAD; statistical inference; variable selection; 62J99; 62F12; 62F25; QUANTILE REGRESSION; ORACLE PROPERTIES; LASSO;

D O I：

10.1080/03610926.2017.1324989

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：

In this paper, we consider penalized linear expectile regression using SCAD penalty function. We prove that our estimator has not only root n consistency but also oracle properties. In order to perform a better statistical inference, we make a correction of our estimator. The performance of our proposed methods are investigated through simulation studies.

引用

页码：1731 / 1746

页数：16

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