Model selection in high-dimensional quantile regression with seamless L0 penalty
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DOI: 10.1016/j.spl.2015.09.011
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References listed on IDEAS
- Eun Ryung Lee & Hohsuk Noh & Byeong U. Park, 2014. "Model Selection via Bayesian Information Criterion for Quantile Regression Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 216-229, March.
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Cited by:
- Gabriela Ciuperca, 2019. "Adaptive group LASSO selection in quantile models," Statistical Papers, Springer, vol. 60(1), pages 173-197, February.
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More about this item
Keywords
High-dimension; Quantile regression; Seamless L0 penalty; Oracle properties; BIC criterion;All these keywords.
JEL classification:
- L0 - Industrial Organization - - General
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