期刊
JOURNAL OF STATISTICAL THEORY AND PRACTICE
卷 11, 期 1, 页码 107-125出版社
SPRINGER
DOI: 10.1080/15598608.2016.1258601
关键词
Group selection; quantile regression; adaptive fused LASSO; selection consistency; oracle properties
This article considers the quantile model with grouped explanatory variables. In order to have the sparsity of the parameter groups but also the sparsity between two successive groups of variables, we propose and study an adaptive fused group LASSO quantile estimator. The number of variable groups can be fixed or divergent. We find the convergence rate under classical assumptions and we show that the proposed estimator satisfies the oracle properties.
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