Variable selection in expectile regression

被引：23
|
作者：
Zhao, Jun [1 ]
Zhang, Yi [1 ]
机构：
[1] Zhejiang Univ, Sch Math Sci, Hangzhou 310027, Zhejiang, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2018年 / 47卷 / 07期
关键词：
Expectile regression; SCAD; statistical inference; variable selection; 62J99; 62F12; 62F25; QUANTILE REGRESSION; ORACLE PROPERTIES; LASSO;
D O I：
10.1080/03610926.2017.1324989
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider penalized linear expectile regression using SCAD penalty function. We prove that our estimator has not only root n consistency but also oracle properties. In order to perform a better statistical inference, we make a correction of our estimator. The performance of our proposed methods are investigated through simulation studies.
引用
收藏
页码：1731 / 1746
页数：16
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