KMS Of Academy of mathematics and systems sciences, CAS
| SPARSE COMPOSITE QUANTILE REGRESSION WITH ULTRAHIGH-DIMENSIONAL HETEROGENEOUS DATA | |
Qu, Lianqiang1; Hao, Meiling2; Sun, Liuquan3
| |
| 2022 | |
| Source Publication | STATISTICA SINICA
 |
| ISSN | 1017-0405 |
| Volume | 32Issue:1Pages:459-475 |
| Abstract | 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. |
| Keyword | Quantile regression sparsity ultrahigh-dimensional data variable screening |
| DOI | 10.5705/ss.202020.0115 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | 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 Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000739764600022 |
| Publisher | STATISTICA SINICA |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59821 |
| Collection | 应用数学研究所 |
| Corresponding Author | Hao, Meiling |
| Affiliation | 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 |
| Recommended Citation 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. |
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