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Interquantile Shrinkage in Regression Models

Jiang, Liewen and Bondell, Howard and Wang, Judy (2012) Interquantile Shrinkage in Regression Models. Journal of Computational and Graphical Statistics. ISSN 1061-8600

Abstract

Conventional analysis using quantile regression typically focuses on fitting the regression model at different quantiles separately. However, in situations where the quantile coefficients share some common feature, joint modeling of multiple quantiles to accommodate the commonality often leads to more efficient estimation. One example of common features is that a predictor may have a constant effect over one region of quantile levels but varying effects in other regions. To automatically perform estimation and detection of the interquantile commonality, we develop two penalization methods. When the quantile slope coefficients indeed do not change across quantile levels, the proposed methods will shrink the slopes towards constant and thus improve the estimation efficiency. We establish the oracle properties of the two proposed penalization methods. Through numerical investigations, we demonstrate that the proposed methods lead to estimations with competitive or higher efficiency than the standard quantile regression estimation in finite samples. Supplemental materials for the article are available online.

Item Type: Article
Additional Information: This is my Ph.D research work before I join in Novartis. The printer asked for updated authors' affiliations, and I gave him 'Novartis Pharmaceutical'. That's why I submit it in OAK. There is no relevance to Novartis research.
Date Deposited: 13 Oct 2015 13:14
Last Modified: 13 Oct 2015 13:14
URI: https://oak.novartis.com/id/eprint/8816

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