Quantile regression for additive coefficient models in high dimensions

In this paper, we consider quantile regression in additive coefficient models (ACM) with high dimensionality under a sparsity assumption and approximate the additive coefficient functions by B-spline expansion. First, we consider the oracle estimator for quantile ACM when the number of additive coef...

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Bibliographic Details
Main Authors: Fan, Zengyan, Lian, Heng
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2020
Subjects:
Online Access:https://hdl.handle.net/10356/140938
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Institution: Nanyang Technological University
Language: English