Focused model selection in quantile regression
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Date
2012-03-29
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Abstract
We consider the problem of model selection for quantile regression analysis where
a particular purpose of the modeling procedure has to be taken into account. Typical
examples include estimation of the area under the curve in pharmacokinetics or estimation
of the minimum effective dose in phase II clinical trials. A focused information
criterion for quantile regression is developed, analyzed and investigated by means of a
simulation study.
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Keywords
model selection focused information criterion, quantile regression