A note on the consistency of Schwarz’s criterion in linear quantile regression with the SCAD penalty

• Main Author: Lian, Heng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Science::Mathematics
• Online Access: https://hdl.handle.net/10356/96500; http://hdl.handle.net/10220/11928
• Institution: Nanyang Technological University

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...