The growth rate of significant regressors for high dimensional data

We give a new consistency proof for high-dimensional quantile regression estimators. A consequence of this proof is that the number of significant regressors can grow at a rate slog2(s)=o(n). To our best knowledge, this is the fastest rate achieved for high-dimensional quantile regression.

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Year of publication:	2013
Authors:	Zheng, Qi ; Gallagher, Colin ; Kulasekera, K.B.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 1969-1972
Publisher:	Elsevier
Subject:	High dimension \| Quantile regression \| Increasing rate

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010678734