کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417220 681468 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Regularized simultaneous model selection in multiple quantiles regression
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Regularized simultaneous model selection in multiple quantiles regression
چکیده انگلیسی

Simultaneously estimating multiple conditional quantiles is often regarded as a more appropriate regression tool than the usual conditional mean regression for exploring the stochastic relationship between the response and covariates. When multiple quantile regressions are considered, it is of great importance to share strength among them. In this paper, we propose a novel regularization method that explores the similarity among multiple quantile regressions by selecting a common subset of covariates to model multiple conditional quantiles simultaneously. The penalty we employ is a matrix norm that encourages sparsity in a column-wise fashion. We demonstrate the effectiveness of the proposed method using both simulations and an application of gene expression data analysis.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 52, Issue 12, 15 August 2008, Pages 5296–5304
نویسندگان
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