Statistics – Methodology
Scientific paper
2011-03-08
Statistics
Methodology
37 pages. Some errors are corrected
Scientific paper
This paper studies the statistical properties of the group Lasso estimator for high dimensional sparse quantile regression models where the number of explanatory variables (or the number of groups of explanatory variables) is possibly much larger than the sample size while the number of variables in "active" groups is sufficiently small. We establish a non-asymptotic bound on the $\ell_{2}$-estimation error of the estimator. This bound explains situations under which the group Lasso estimator is potentially superior/inferior to the $\ell_{1}$-penalized quantile regression estimator in terms of the estimation error. We also propose a data-dependent choice of the tuning parameter to make the method more practical, by extending the original proposal of Belloni and Chernozhukov (2011) for the $\ell_{1}$-penalized quantile regression estimator. As an application, we analyze high dimensional additive quantile regression models. We show that under a set of suitable regularity conditions, the group Lasso estimator can attain the convergence rate arbitrarily close to the oracle rate. Finally, we conduct simulations experiments to examine our theoretical results.
No associations
LandOfFree
Group Lasso for high dimensional sparse quantile regression models does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Group Lasso for high dimensional sparse quantile regression models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Group Lasso for high dimensional sparse quantile regression models will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-82150