Smoothed Quantile Regression with Factor-Augmented Regularized Variable Selection for High Correlated Data

Smoothed Quantile Regression with Factor-Augmented Regularized Variable Selection for High Correlated Data

This paper studies variable selection for the data set, which has heavy-tailed distribution and high correlations within blocks of covariates. Motivated by econometric and financial studies, we consider using quantile regression to model the heavy-tailed distribution data. Considering the case where...

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Bibliographic Details
Main Authors: Yongxia Zhang, Qi Wang, Maozai Tian
Format: Article
Language:English
Published: MDPI AG 2022-08-01
Series:Mathematics
Subjects:
quantile regression
high correlations
latent factor model
variable selection
Online Access:https://www.mdpi.com/2227-7390/10/16/2935

Internet

https://www.mdpi.com/2227-7390/10/16/2935

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