Hierarchically penalized quantile regression with multiple responses
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jongkyeong | - |
dc.contributor.author | Shin, Seung Jun | - |
dc.contributor.author | Park, Jaeshin | - |
dc.contributor.author | Bang, Sungwan | - |
dc.date.accessioned | 2021-09-02T02:19:24Z | - |
dc.date.available | 2021-09-02T02:19:24Z | - |
dc.date.created | 2021-06-19 | - |
dc.date.issued | 2018-12 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/71267 | - |
dc.description.abstract | We study variable selection in quantile regression with multiple responses. Instead of applying conventional penalized quantile regression to each response separately, it is desired to solve them simultaneously when the sparsity patterns of the regression coefficients for different responses are similar, which is often the case in practice. In this paper, we propose employing a hierarchical penalty that enables us to detect a common sparsity pattern shared between different responses as well as additional sparsity patterns within the selected variables. We establish the oracle property of the proposed method and demonstrate it offers better performance than existing approaches. (C) 2018 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.subject | VARIABLE SELECTION | - |
dc.title | Hierarchically penalized quantile regression with multiple responses | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Shin, Seung Jun | - |
dc.identifier.doi | 10.1016/j.jkss.2018.05.004 | - |
dc.identifier.scopusid | 2-s2.0-85048557203 | - |
dc.identifier.wosid | 000451499700006 | - |
dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.47, no.4, pp.471 - 481 | - |
dc.relation.isPartOf | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.title | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.volume | 47 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 471 | - |
dc.citation.endPage | 481 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002426231 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | VARIABLE SELECTION | - |
dc.subject.keywordAuthor | Multivariate response | - |
dc.subject.keywordAuthor | Quantile regression | - |
dc.subject.keywordAuthor | Regularization | - |
dc.subject.keywordAuthor | Hierarchical penalty | - |
dc.subject.keywordAuthor | Oracle property | - |
dc.subject.keywordAuthor | Variable selection | - |
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