Multiple smoothing parameters selection in additive regression quantiles

• Published in: Statistical modelling Vol. 21; no. 5; pp. 428 - 448
• Main Authors: Muggeo, Vito M.R., Torretta, Federico, Eilers, Paul H. C., Sciandra, Mariangela, Attanasio, Massimo
• Format: Journal Article
• Language: English
• Published: New Delhi, India SAGE Publications 01.10.2021
• Subjects: Schall algorithm; P-splines; Flexible modelling; semiparametric quantile regression; additive quantile regression

We propose an iterative algorithm to select the smoothing parameters in additive quantile regression, wherein the functional forms of the covariate effects are unspecified and expressed via B-spline bases with difference penalties on the spline coefficients. The proposed algorithm relies on viewing...