Adaptive fused LASSO in grouped quantile regression

被引：9

作者：

Ciuperca G. ^{[1
]}

机构：

[1] Université Claude Bernard Lyon, Institut Camille Jordan, Villeurbanne

来源：

Journal of Statistical Theory and Practice | 2017年 / 11卷 / 1期

关键词：

adaptive fused LASSO; Group selection; oracle properties; quantile regression; selection consistency;

D O I：

10.1080/15598608.2016.1258601

中图分类号：

学科分类号：

摘要：

This article considers the quantile model with grouped explanatory variables. In order to have the sparsity of the parameter groups but also the sparsity between two successive groups of variables, we propose and study an adaptive fused group LASSO quantile estimator. The number of variable groups can be fixed or divergent. We find the convergence rate under classical assumptions and we show that the proposed estimator satisfies the oracle properties. © 2017 Grace Scientific Publishing, LLC.

引用

页码：107 / 125

页数：18

共 23 条

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