SPARSE COMPOSITE QUANTILE REGRESSION WITH ULTRAHIGH-DIMENSIONAL HETEROGENEOUS DATA

doi:10.5705/ss.202020.0115

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 应用数学研究所

	SPARSE COMPOSITE QUANTILE REGRESSION WITH ULTRAHIGH-DIMENSIONAL HETEROGENEOUS DATA
	Qu, Lianqiang 1; Hao, Meiling 2; Sun, Liuquan 3
刊名	STATISTICA SINICA
	2022
卷号	32 期号:1 页码:459-475
关键词	Quantile regression sparsity ultrahigh-dimensional data variable screening
ISSN号	1017-0405
DOI	10.5705/ss.202020.0115
英文摘要	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.
资助项目	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研究方向	Mathematics
语种	英语
出版者	STATISTICA SINICA
WOS记录号	WOS:000739764600022
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/59820]
专题	应用数学研究所
通讯作者	Hao, Meiling
作者单位	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
推荐引用方式 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.