Lian, Heng - In: Statistics & Probability Letters 82 (2012) 7, pp. 1224-1228
quantile regression, is consistent in variable selection. In particular, due to the recent interest in penalized likelihood for …-penalized estimator. Although similar results have been proved for linear regression, the results obtained here are new for quantile … regression, which imposes extra technical difficulties compared to mean regression, since no closed-form solution exists. …