Forward variable selection for ultra-high dimensional quantile regression models

Toshio Honda, 敏雄 本田 and Chien-Tong Lin

No 2021-02, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: forward procedure; check function; sparsity; screening consistency; stopping rule (search for similar items in EconPapers)
Pages: 40 pages
Date: 2022-05
New Economics Papers: this item is included in nep-ecm, nep-isf and nep-ore
Note: First version : August 2021, Second version：January 2022, This version：May 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2021-02

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