Autor(en): | Dette, Holger Volgushev, Stanislav Wagener, Jens |
Titel: | Censored quantile regression processes under dependence and penalization |
Sprache (ISO): | en |
Zusammenfassung: | We consider quantile regression processes from censored data under dependent data structures and derive a uniform Bahadur representation for those processes. We also consider cases where the dimension of the parameter in the quantile regression model is large. It is demonstrated that traditional penalization methods such as the adaptive lasso yield sub-optimal rates if the coe fficients of the quantile regression cross zero. New penalization techniques are introduced which are able to deal with speci c problems of censored data and yield estimates with an optimal rate. In contrast to most of the literature, the asymptotic analysis does not require the assumption of independent observations, but is based on rather weak assumptions, which are satis ed for many kinds of dependent data. |
Schlagwörter: | Bahadur representation censored data dependent data quantile regression variable selection weak convergence |
URI: | http://hdl.handle.net/2003/29598 http://dx.doi.org/10.17877/DE290R-4908 |
Erscheinungsdatum: | 2012-08-28 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_3412_sfb823_Volgushev_Wagener_Dette.pdf | DNB | 460.32 kB | Adobe PDF | Öffnen/Anzeigen |
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