Model selection in high-dimensional quantile regression with seamless L0 penalty

Gabriela Ciuperca (1)

1 PSPM - Probabilités, statistique, physique mathématique

We introduce and study the seamless L0 quantile estimator in a linear model when the number of parameters increases with sample size. For this estimator we derive the convergence rate and oracle properties. A consistent BIC criterion to select the tuning parameters is given.

Domaines: Statistiques [math.ST]

Gabriela Ciuperca. Model selection in high-dimensional quantile regression with seamless L0 penalty. Statistics and Probability Letters, 2015, 107, pp.313-323. ⟨10.1016/j.spl.2015.09.011⟩. ⟨hal-02071919⟩