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Quantile regression for functional partially linear model in ultra-high dimensions

Author

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  • Ma, Haiqiang
  • Li, Ting
  • Zhu, Hongtu
  • Zhu, Zhongyi

Abstract

Quantile regression for functional partially linear model in ultra-high dimensions is proposed and studied. By focusing on the conditional quantiles, where conditioning is on both multiple random processes and high-dimensional scalar covariates, the proposed model can lead to a comprehensive description of the scalar response. To select and estimate important variables, a double penalized functional quantile objective function with two nonconvex penalties is developed, and the optimal tuning parameters involved can be chosen by a two-step technique. Based on the difference convex analysis (DCA), the asymptotic properties of the resulting estimators are established, and the convergence rate of the prediction of the conditional quantile function can be obtained. Simulation studies demonstrate a competitive performance against the existing approach. A real application to Alzheimer’s Disease Neuroimaging Initiative (ADNI) data is used to illustrate the practicality of the proposed model.

Suggested Citation

  • Ma, Haiqiang & Li, Ting & Zhu, Hongtu & Zhu, Zhongyi, 2019. "Quantile regression for functional partially linear model in ultra-high dimensions," Computational Statistics & Data Analysis, Elsevier, vol. 129(C), pages 135-147.
    • Handle: RePEc:eee:csdana:v:129:y:2019:i:c:p:135-147
    DOI: 10.1016/j.csda.2018.06.005
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    References listed on IDEAS

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    Cited by:

    1. Ufuk Beyaztas & Han Lin Shang & Aylin Alin, 2022. "Function-on-Function Partial Quantile Regression," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 27(1), pages 149-174, March.
    2. Liang, Weijuan & Zhang, Qingzhao & Ma, Shuangge, 2023. "Locally sparse quantile estimation for a partially functional interaction model," Computational Statistics & Data Analysis, Elsevier, vol. 186(C).
    3. Zhang, Xiaochen & Zhang, Qingzhao & Ma, Shuangge & Fang, Kuangnan, 2022. "Subgroup analysis for high-dimensional functional regression," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    4. Aneiros, Germán & Novo, Silvia & Vieu, Philippe, 2022. "Variable selection in functional regression models: A review," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    5. Zhiqiang Jiang & Zhensheng Huang & Jing Zhang, 2023. "Functional single-index composite quantile regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(5), pages 595-603, July.
    6. Li, Ting & Song, Xinyuan & Zhang, Yingying & Zhu, Hongtu & Zhu, Zhongyi, 2021. "Clusterwise functional linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 158(C).
    7. Sanying Feng & Menghan Zhang & Tiejun Tong, 2022. "Variable selection for functional linear models with strong heredity constraint," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 321-339, April.

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