Simultaneous estimation and variable selection in median regression using Lasso-type penalty

Annals of the Institute of Statistical Mathematics

Volumn 62, Issue 3, 2010, Pages 487-514

  Xu, Jinfeng ^a   Ying, Zhiliang ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b Columbia University ^*  (United States)

Author keywords

Bayesian information criterion; Lasso; Least absolute deviations; Median regression; Perturbation; Variable selection

Indexed keywords

ASYMPTOTICALLY OPTIMAL; BAYESIAN INFORMATION CRITERION; DATA-DRIVEN; FIXED NUMBERS; LEAST ABSOLUTE DEVIATIONS; PENALTY TERM; REAL EXAMPLE; REGRESSION MODEL; SIMULATION STUDIES; SIMULTANEOUS ESTIMATION; STANDARD ERRORS; TWO-STAGE METHODS; VARIABLE SELECTION;

BAYESIAN NETWORKS; ESTIMATION;

REGRESSION ANALYSIS;

EID: 77950692172     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-008-0184-2     Document Type: Article

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