A note on the consistency of Schwarz’s criterion in linear quantile regression with the SCAD penalty
In this short note, we demonstrate that Schwarz’s criterion, which has been used frequently in the literature on quantile regression, is consistent in variable selection. In particular, due to the recent interest in penalized likelihood for variable selection, we also show that Schwarz’s criterion c...
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| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/96500 http://hdl.handle.net/10220/11928 |
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| Institution: | Nanyang Technological University |
| Language: | English |