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Quantile function regression and variable selection for sparse models

Published in Canadian Journal of Statistics • Apr 23, 2021
NobleIDNI8P45W12R43S98
Authors:
Takuma Yoshida

Abstract

This article considers linear quantile regression and variable selection for high‐dimensional data. In general, an ordinary quantile regression estimator is obtained for a single, fixed quantile level. Therefore, the estimated coefficient does not have continuity with respect to the quantile level, ...

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