Shrinkage estimation of varying covariate effects based on quantile regression

• Published in: Statistics and computing Vol. 24; no. 5; pp. 853 - 869
• Main Authors: Peng, Limin, Xu, Jinfeng, Kutner, Nancy
• Format: Journal Article
• Language: English
• Published: Boston Springer US 01.09.2014
• Subjects: Artificial Intelligence; Heterogeneity; Mathematical models; Mathematics and Statistics; Probability and Statistics in Computer Science; Quantiles; Regression; Shrinkage; Statistical Theory and Methods; Statistics; Statistics and Computing/Statistics Programs; Utilities; Shrinkage estimation; Censoring; Quantile regression; Varying covariate effects; Adaptive-LASSO; Variable selection

Varying covariate effects often manifest meaningful heterogeneity in covariate-response associations. In this paper, we adopt a quantile regression model that assumes linearity at a continuous range of quantile levels as a tool to explore such data dynamics. The consideration of potential non-consta...