Penalized Single-Index Quantile Regression

Ali Alkenani, Keming Yu

Abstract


The single-index (SI) regression and single-index quantile (SIQ) estimation  methods product linear combinations of  all the original predictors. However, it is possible that there are many unimportant predictors within the original predictors. Thus, the precision of parameter estimation as well as the accuracy of prediction will be effected by the existence of those unimportant predictors when the previous methods are used.

In this article, an extension of the SIQ method of Wu et al. (2010) has been proposed, which considers Lasso and Adaptive Lasso for estimation and variable selection. Computational algorithms have been developed in order to calculate the penalized SIQ estimates. A simulation study and a real data application have been used to assess the performance of the methods under consideration.

Full Text: PDF DOI: 10.5539/ijsp.v2n3p12

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International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

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