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SPARSE COMPOSITE QUANTILE REGRESSION WITH ULTRAHIGH-DIMENSIONAL HETEROGENEOUS DATA

文献类型：期刊论文

作者Qu, Lianqiang1; Hao, Meiling2; Sun, Liuquan3
刊名STATISTICA SINICA
出版日期2022
卷号32期号:1页码:459-475
关键词Quantile regression sparsity ultrahigh-dimensional data variable screening
ISSN号1017-0405
DOI10.5705/ss.202020.0115
英文摘要Although quantile regressions are widely employed for heterogeneous data, simultaneously selecting covariates that globally affect the response and estimating the coefficients is very challenging. We introduce a novel sparse composite quantile regression screening method for the analysis of ultrahigh-dimensional heterogeneous data. The proposed method enjoys the sure screening property, provides a consistent selection path, and yields consistent estimates of the coefficients simultaneously across a continuous range of quantile levels. An extended Bayesian information criterion is employed to select the "best" candidate from the path. Extensive simulation studies demonstrate the effectiveness of the proposed method, and an application to a gene expression data set is provided.
资助项目National Natural Science Foundation of China[11771431] ; National Natural Science Foundation of China[11690015] ; National Natural Science Foundation of China[12001219] ; National Natural Science Foundation of China[11901087] ; Key Laboratory of RCSDS, CAS[2008DP173182] ; Hubei Natural Science Foundation of China[2018CFB256] ; Fundamental Research Funds for the Central Universities[CCNU19QN084] ; Program for Young Excellent Talents, UIBE[19YQ15]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000739764600022
出版者STATISTICA SINICA
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/59820]  
专题应用数学研究所
通讯作者Hao, Meiling
作者单位1.Cent China Normal Univ, Sch Math & Stat, Wuhan 430079, Hubei, Peoples R China
2.Univ Int Business & Econ, Sch Stat, Beijing 100029, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Qu, Lianqiang,Hao, Meiling,Sun, Liuquan. SPARSE COMPOSITE QUANTILE REGRESSION WITH ULTRAHIGH-DIMENSIONAL HETEROGENEOUS DATA[J]. STATISTICA SINICA,2022,32(1):459-475.
APA Qu, Lianqiang,Hao, Meiling,&Sun, Liuquan.(2022).SPARSE COMPOSITE QUANTILE REGRESSION WITH ULTRAHIGH-DIMENSIONAL HETEROGENEOUS DATA.STATISTICA SINICA,32(1),459-475.
MLA Qu, Lianqiang,et al."SPARSE COMPOSITE QUANTILE REGRESSION WITH ULTRAHIGH-DIMENSIONAL HETEROGENEOUS DATA".STATISTICA SINICA 32.1(2022):459-475.

入库方式： OAI收割

来源：数学与系统科学研究院

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