Variable selection and coefficient estimation via composite quantile regression with randomly censored data

Rong Jiang, Weimin Qian and Zhangong Zhou

Statistics & Probability Letters, 2012, vol. 82, issue 2, 308-317

Abstract: Composite quantile regression with randomly censored data is studied. Moreover, adaptive LASSO methods for composite quantile regression with randomly censored data are proposed. The consistency, asymptotic normality and oracle property of the proposed estimators are established. The proposals are illustrated via simulation studies and the Australian AIDS dataset.

Keywords: Kaplan–Meier estimator; Randomly censored data; Composite quantile regression; Variable selection; LASSO (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spl.2011.10.017

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