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Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso
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- Fan, Rui & Lee, Ji Hyung & Shin, Youngki, 2023.
"Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Rui Fan & Ji Hyung Lee & Youngki Shin, 2021. "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers 2101.11568, arXiv.org, revised Dec 2022.
- Charalampos Stasinakis & Georgios Sermpinis & Konstantinos Theofilatos & Andreas Karathanasopoulos, 2016. "Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 569-587, April.
- Farnè, Matteo & Vouldis, Angelos T., 2018. "A methodology for automised outlier detection in high-dimensional datasets: an application to euro area banks' supervisory data," Working Paper Series 2171, European Central Bank.
- Jiang, Rong & Qian, Wei-Min & Zhou, Zhan-Gong, 2016. "Weighted composite quantile regression for single-index models," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 34-48.
- Song, Yunquan & Liang, Xijun & Zhu, Yanji & Lin, Lu, 2021. "Robust variable selection with exponential squared loss for the spatial autoregressive model," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
- Yafen Ye & Renyong Chi & Yuan-Hai Shao & Chun-Na Li & Xiangyu Hua, 2022. "Indicator Selection of Index Construction by Adaptive Lasso with a Generic $$\varepsilon $$ ε -Insensitive Loss," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 971-990, October.
- Guan Yu & Yufeng Liu, 2016. "Sparse Regression Incorporating Graphical Structure Among Predictors," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(514), pages 707-720, April.
- Lan Wang & Runze Li, 2009. "Weighted Wilcoxon-Type Smoothly Clipped Absolute Deviation Method," Biometrics, The International Biometric Society, vol. 65(2), pages 564-571, June.
- Pötscher, Benedikt M. & Schneider, Ulrike, 2007. "On the distribution of the adaptive LASSO estimator," MPRA Paper 6913, University Library of Munich, Germany.
- Casado Yusta, Silvia & Nœ–ez Letamendía, Laura & Pacheco Bonrostro, Joaqu’n Antonio, 2018. "Predicting Corporate Failure: The GRASP-LOGIT Model || Predicci—n de la quiebra empresarial: el modelo GRASP-LOGIT," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 294-314, Diciembre.
- Kean Ming Tan & Lan Wang & Wen‐Xin Zhou, 2022. "High‐dimensional quantile regression: Convolution smoothing and concave regularization," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(1), pages 205-233, February.
- Umberto Amato & Anestis Antoniadis & Italia De Feis & Irene Gijbels, 2021. "Penalised robust estimators for sparse and high-dimensional linear models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 1-48, March.
- Florian Ziel, 2015. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes," Papers 1502.06557, arXiv.org, revised Dec 2015.
- Zhang, Hao Helen & Lu, Wenbin & Wang, Hansheng, 2010. "On sparse estimation for semiparametric linear transformation models," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1594-1606, August.
- Carlos R. Barrera Chaupis, 2018. "Inventory Adjustments to Demand Shocks under Flexible Specifications," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 149-201, january-j.
- Yi Chu & Lu Lin, 2020. "Conditional SIRS for nonparametric and semiparametric models by marginal empirical likelihood," Statistical Papers, Springer, vol. 61(4), pages 1589-1606, August.
- Adewale Folaranmi Lukman & Jeza Allohibi & Segun Light Jegede & Emmanuel Taiwo Adewuyi & Segun Oke & Abdulmajeed Atiah Alharbi, 2023. "Kibria–Lukman-Type Estimator for Regularization and Variable Selection with Application to Cancer Data," Mathematics, MDPI, vol. 11(23), pages 1-11, November.
- Can Wu & Ying Cui & Donghui Li & Defeng Sun, 2023. "Convex and Nonconvex Risk-Based Linear Regression at Scale," INFORMS Journal on Computing, INFORMS, vol. 35(4), pages 797-816, July.
- Jiang, Rong & Qian, Weimin & Zhou, Zhangong, 2012. "Variable selection and coefficient estimation via composite quantile regression with randomly censored data," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 308-317.
- Z. John Daye & Jinbo Chen & Hongzhe Li, 2012. "High-Dimensional Heteroscedastic Regression with an Application to eQTL Data Analysis," Biometrics, The International Biometric Society, vol. 68(1), pages 316-326, March.
- R. Alhamzawi & K. Yu & D. F. Benoit, 2011. "Bayesian adaptive Lasso quantile regression," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/728, Ghent University, Faculty of Economics and Business Administration.
- Xia, Xiaochao & Liu, Zhi & Yang, Hu, 2016. "Regularized estimation for the least absolute relative error models with a diverging number of covariates," Computational Statistics & Data Analysis, Elsevier, vol. 96(C), pages 104-119.
- Guang Cheng & Hao Zhang & Zuofeng Shang, 2015. "Sparse and efficient estimation for partial spline models with increasing dimension," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 93-127, February.
- Kepplinger, David, 2023. "Robust variable selection and estimation via adaptive elastic net S-estimators for linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 183(C).
- Nahapetyan Yervand, 2019. "The benefits of the Velvet Revolution in Armenia: Estimation of the short-term economic gains using deep neural networks," Central European Economic Journal, Sciendo, vol. 6(53), pages 286-303, January.
- Barrera, Carlos, 2010. "¿Respuesta asimétrica de precios domésticos de combustibles ante choques en el WTI?," Working Papers 2010-016, Banco Central de Reserva del Perú.
- Sophie Lambert-Lacroix & Laurent Zwald, 2016. "The adaptive BerHu penalty in robust regression," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(3), pages 487-514, September.
- Yongshi Liu & Xiaodong Yu & Jianjun Zhao & Changchun Pan & Kai Sun, 2022. "Development of a Robust Data-Driven Soft Sensor for Multivariate Industrial Processes with Non-Gaussian Noise and Outliers," Mathematics, MDPI, vol. 10(20), pages 1-16, October.
- Zhao, Weihua & Lian, Heng, 2017. "Quantile index coefficient model with variable selection," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 40-58.
- Mingqiu Wang & Guo-Liang Tian, 2016. "Robust group non-convex estimations for high-dimensional partially linear models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 49-67, March.
- Huang, Lele & Zhao, Junlong & Wang, Huiwen & Wang, Siyang, 2016. "Robust shrinkage estimation and selection for functional multiple linear model through LAD loss," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 384-400.
- Hu Yang & Ning Li & Jing Yang, 2020. "A robust and efficient estimation and variable selection method for partially linear models with large-dimensional covariates," Statistical Papers, Springer, vol. 61(5), pages 1911-1937, October.
- Hoai An Le Thi & Manh Cuong Nguyen, 2017. "DCA based algorithms for feature selection in multi-class support vector machine," Annals of Operations Research, Springer, vol. 249(1), pages 273-300, February.
- Xiaofei Wu & Rongmei Liang & Hu Yang, 2022. "Penalized and constrained LAD estimation in fixed and high dimension," Statistical Papers, Springer, vol. 63(1), pages 53-95, February.
- Chen, Huangyue & Kong, Lingchen & Shang, Pan & Pan, Shanshan, 2020. "Safe feature screening rules for the regularized Huber regression," Applied Mathematics and Computation, Elsevier, vol. 386(C).
- Ziel, Florian, 2016. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 773-793.
- Wang, Hansheng & Leng, Chenlei, 2008. "A note on adaptive group lasso," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5277-5286, August.
- Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
- Thompson, Ryan, 2022. "Robust subset selection," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
- Gijbels, I. & Vrinssen, I., 2015. "Robust nonnegative garrote variable selection in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 85(C), pages 1-22.
- Wang, Lie, 2013. "The L1 penalized LAD estimator for high dimensional linear regression," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 135-151.
- Victor Oluwafemi Olorunsola & Mehmet Bahri Saydam & Hasan Evrim Arici & Mehmet Ali Köseoglu, 2024. "The predictive roles of financial indicators and governance scores on firms’ emission performance in the tourism and hospitality industry," Tourism Economics, , vol. 30(6), pages 1382-1403, September.
- N. Neykov & P. Filzmoser & P. Neytchev, 2014. "Ultrahigh dimensional variable selection through the penalized maximum trimmed likelihood estimator," Statistical Papers, Springer, vol. 55(1), pages 187-207, February.
- Ji, Yonggang & Lin, Nan & Zhang, Baoxue, 2012. "Model selection in binary and tobit quantile regression using the Gibbs sampler," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 827-839.
- Smucler, Ezequiel & Yohai, Victor J., 2017. "Robust and sparse estimators for linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 111(C), pages 116-130.
- Qiang Li & Liming Wang, 2020. "Robust change point detection method via adaptive LAD-LASSO," Statistical Papers, Springer, vol. 61(1), pages 109-121, February.
- Barbato, Michele & Ceselli, Alberto, 2024. "Mathematical programming for simultaneous feature selection and outlier detection under l1 norm," European Journal of Operational Research, Elsevier, vol. 316(3), pages 1070-1084.
- UÄŸur Åžener & Salvatore Joseph Terregrossa, 2024. "A Transcendental LASSO Function for Combining Machine Learning and Statistical Model Forecasts," SAGE Open, , vol. 14(3), pages 21582440241, August.
- Junlong Zhao & Chao Liu & Lu Niu & Chenlei Leng, 2019. "Multiple influential point detection in high dimensional regression spaces," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 81(2), pages 385-408, April.
- Dries Benoit & Rahim Alhamzawi & Keming Yu, 2013. "Bayesian lasso binary quantile regression," Computational Statistics, Springer, vol. 28(6), pages 2861-2873, December.
- Dongxiao Han & Miao Han & Jian Huang & Yuanyuan Lin, 2023. "Robust inference for high‐dimensional single index models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 50(4), pages 1590-1615, December.
- Weiyan Mu & Shifeng Xiong, 2014. "Some notes on robust sure independence screening," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(10), pages 2092-2102, October.
- Yang, Xuzhi & Wang, Tengyao, 2024. "Multiple-output composite quantile regression through an optimal transport lens," LSE Research Online Documents on Economics 125589, London School of Economics and Political Science, LSE Library.
- Aneiros, Germán & Novo, Silvia & Vieu, Philippe, 2022. "Variable selection in functional regression models: A review," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
- Elyasiani, Elyas & Movaghari, Hadi, 2022. "Determinants of corporate cash holdings: An application of a robust variable selection technique," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 967-993.
- Yufeng Liu & Yichao Wu, 2011. "Simultaneous multiple non-crossing quantile regression estimation using kernel constraints," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(2), pages 415-437.
- Zangin Zeebari, 2012. "Developing ridge estimation method for median regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(12), pages 2627-2638, August.
- Arslan, Olcay, 2012. "Weighted LAD-LASSO method for robust parameter estimation and variable selection in regression," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1952-1965.
- Yuyang Liu & Pengfei Pi & Shan Luo, 2023. "A semi-parametric approach to feature selection in high-dimensional linear regression models," Computational Statistics, Springer, vol. 38(2), pages 979-1000, June.
- Hao, Meiling & Lin, Yunyuan & Zhao, Xingqiu, 2016. "A relative error-based approach for variable selection," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 250-262.
- Benoit, Dries F. & Van den Poel, Dirk, 2017. "bayesQR: A Bayesian Approach to Quantile Regression," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 76(i07).
- Tianfa Xie & Ruiyuan Cao & Jiang Du, 2020. "Variable selection for spatial autoregressive models with a diverging number of parameters," Statistical Papers, Springer, vol. 61(3), pages 1125-1145, June.
- 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.
- Weichi Wu & Zhou Zhou, 2017. "Nonparametric Inference for Time-Varying Coefficient Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 98-109, January.
- Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
- Jonathan Boss & Alexander Rix & Yin‐Hsiu Chen & Naveen N. Narisetty & Zhenke Wu & Kelly K. Ferguson & Thomas F. McElrath & John D. Meeker & Bhramar Mukherjee, 2021. "A hierarchical integrative group least absolute shrinkage and selection operator for analyzing environmental mixtures," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
- Jiali Zheng & Xiyang Wang, 2022. "Estimation for a Class of Semiparametric Pareto Mixture Densities," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 609-627, August.
- Shiyi Tu & Min Wang & Xiaoqian Sun, 2017. "Bayesian variable selection and estimation in maximum entropy quantile regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(2), pages 253-269, January.
- Abdul Wahid & Dost Muhammad Khan & Ijaz Hussain, 2017. "Robust Adaptive Lasso method for parameter’s estimation and variable selection in high-dimensional sparse models," PLOS ONE, Public Library of Science, vol. 12(8), pages 1-17, August.
- Jiaming Luan & Hongwei Wang & Kangning Wang & Benle Zhang, 2022. "Robust distributed estimation and variable selection for massive datasets via rank regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(3), pages 435-450, June.
- Ziqi Chen & Man-Lai Tang & Wei Gao & Ning-Zhong Shi, 2014. "New Robust Variable Selection Methods for Linear Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(3), pages 725-741, September.
- Long Feng & Changliang Zou & Zhaojun Wang & Xianwu Wei & Bin Chen, 2015. "Robust spline-based variable selection in varying coefficient model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(1), pages 85-118, January.
- Kadriye Hilal Topal & Ebru Çağlayan Akay, 2020. "Hanehalkı Tüketim Harcamalarının Mikroekonometrik Analizi: LAD-LASSO Yöntemi," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(33), pages 13-31, December.
- Sardy, Sylvain & Diaz-Rodriguez, Jairo & Giacobino, Caroline, 2022. "Thresholding tests based on affine LASSO to achieve non-asymptotic nominal level and high power under sparse and dense alternatives in high dimension," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- Li, Mei & Kong, Lingchen, 2019. "Double fused Lasso penalized LAD for matrix regression," Applied Mathematics and Computation, Elsevier, vol. 357(C), pages 119-138.
- Wang, Chuchu & Song, Xinyuan, 2024. "Nonparametric quantile scalar-on-image regression," Computational Statistics & Data Analysis, Elsevier, vol. 191(C).
- Barrera, Carlos R., 2011. "Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles," Working Papers 2011-009, Banco Central de Reserva del Perú.
- Qingguo Tang & R. J. Karunamuni, 2018. "Robust variable selection for finite mixture regression models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(3), pages 489-521, June.
- Muhammad Amin & Lixin Song & Milton Abdul Thorlie & Xiaoguang Wang, 2015. "SCAD-penalized quantile regression for high-dimensional data analysis and variable selection," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(3), pages 212-235, August.
- Bang, Sungwan & Jhun, Myoungshic, 2012. "Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 813-826.
- Alhamzawi, Rahim, 2016. "Bayesian model selection in ordinal quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 68-78.
- Zhu Wang, 2022. "MM for penalized estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(1), pages 54-75, March.
- Diego Vidaurre & Concha Bielza & Pedro Larrañaga, 2013. "A Survey of L1 Regression," International Statistical Review, International Statistical Institute, vol. 81(3), pages 361-387, December.
- Elena McDonald & Xin Wang, 2024. "Generalized regression estimators with concave penalties and a comparison to lasso type estimators," METRON, Springer;Sapienza Università di Roma, vol. 82(2), pages 213-239, August.
- T. Cai & J. Huang & L. Tian, 2009. "Regularized Estimation for the Accelerated Failure Time Model," Biometrics, The International Biometric Society, vol. 65(2), pages 394-404, June.
- Jiang, Rong & Qian, Wei-Min, 2016. "Quantile regression for single-index-coefficient regression models," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 305-317.
- Lv, Zhike & Zhu, Huiming & Yu, Keming, 2014. "Robust variable selection for nonlinear models with diverging number of parameters," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 90-97.