Semiparametric estimation of additive quantile regression models by two-fold penalty
In this article, we propose a model selection and semiparametric estimation method for additive models in the context of quantile regression problems. In particular, we are interested in finding nonzero components as well as linear components in the conditional quantile function. Our approach is bas...
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| Format: | Journal Article |
| Language: | English |
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2013
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| Online Access: | https://hdl.handle.net/10356/105477 http://hdl.handle.net/10220/17501 http://dx.doi.org/10.1080/07350015.2012.693851 |
| _version_ | 1824456446948933632 |
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| author | Lian, Heng |
| author2 | School of Physical and Mathematical Sciences |
| author_facet | School of Physical and Mathematical Sciences Lian, Heng |
| author_sort | Lian, Heng |
| collection | NTU |
| description | In this article, we propose a model selection and semiparametric estimation method for additive models in the context of quantile regression problems. In particular, we are interested in finding nonzero components as well as linear components in the conditional quantile function. Our approach is based on spline approximation for the components aided by two Smoothly Clipped Absolute Deviation (SCAD) penalty terms. The advantage of our approach is that one can automatically choose between general additive models, partially linear additive models, and linear models in a single estimation step. The most important contribution is that this is achieved without the need for specifying which covariates enter the linear part, solving one serious practical issue for models with partially linear additive structure. Simulation studies as well as a real dataset are used to illustrate our method. |
| first_indexed | 2025-02-19T03:54:14Z |
| format | Journal Article |
| id | ntu-10356/105477 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2025-02-19T03:54:14Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | ntu-10356/1054772019-12-06T21:52:06Z Semiparametric estimation of additive quantile regression models by two-fold penalty Lian, Heng School of Physical and Mathematical Sciences DRNTU::Science::Mathematics::Statistics In this article, we propose a model selection and semiparametric estimation method for additive models in the context of quantile regression problems. In particular, we are interested in finding nonzero components as well as linear components in the conditional quantile function. Our approach is based on spline approximation for the components aided by two Smoothly Clipped Absolute Deviation (SCAD) penalty terms. The advantage of our approach is that one can automatically choose between general additive models, partially linear additive models, and linear models in a single estimation step. The most important contribution is that this is achieved without the need for specifying which covariates enter the linear part, solving one serious practical issue for models with partially linear additive structure. Simulation studies as well as a real dataset are used to illustrate our method. 2013-11-08T06:53:49Z 2019-12-06T21:52:06Z 2013-11-08T06:53:49Z 2019-12-06T21:52:06Z 2012 2012 Journal Article Lian, H. (2012). Semiparametric estimation of additive quantile regression models by two-fold penalty. Journal of business & economic statistics, 30(3), 337-350. https://hdl.handle.net/10356/105477 http://hdl.handle.net/10220/17501 http://dx.doi.org/10.1080/07350015.2012.693851 en Journal of business & economic statistics |
| spellingShingle | DRNTU::Science::Mathematics::Statistics Lian, Heng Semiparametric estimation of additive quantile regression models by two-fold penalty |
| title | Semiparametric estimation of additive quantile regression models by two-fold penalty |
| title_full | Semiparametric estimation of additive quantile regression models by two-fold penalty |
| title_fullStr | Semiparametric estimation of additive quantile regression models by two-fold penalty |
| title_full_unstemmed | Semiparametric estimation of additive quantile regression models by two-fold penalty |
| title_short | Semiparametric estimation of additive quantile regression models by two-fold penalty |
| title_sort | semiparametric estimation of additive quantile regression models by two fold penalty |
| topic | DRNTU::Science::Mathematics::Statistics |
| url | https://hdl.handle.net/10356/105477 http://hdl.handle.net/10220/17501 http://dx.doi.org/10.1080/07350015.2012.693851 |
| work_keys_str_mv | AT lianheng semiparametricestimationofadditivequantileregressionmodelsbytwofoldpenalty |