Jackknife model averaging for high‐dimensional quantile regression

Miaomiao Wang, Xinyu Zhang, Alan T. K. Wan, Kang You and Guohua Zou

Biometrics, 2023, vol. 79, issue 1, 178-189

Abstract: In this paper, we propose a frequentist model averaging method for quantile regression with high‐dimensional covariates. Although research on these subjects has proliferated as separate approaches, no study has considered them in conjunction. Our method entails reducing the covariate dimensions through ranking the covariates based on marginal quantile utilities. The second step of our method implements model averaging on the models containing the covariates that survive the screening of the first step. We use a delete‐one cross‐validation method to select the model weights, and prove that the resultant estimator possesses an optimal asymptotic property uniformly over any compact (0,1) subset of the quantile indices. Our proof, which relies on empirical process theory, is arguably more challenging than proofs of similar results in other contexts owing to the high‐dimensional nature of the problem and our relaxation of the conventional assumption of the weights summing to one. Our investigation of finite‐sample performance demonstrates that the proposed method exhibits very favorable properties compared to the least absolute shrinkage and selection operator (LASSO) and smoothly clipped absolute deviation (SCAD) penalized regression methods. The method is applied to a microarray gene expression data set.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/biom.13574

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:biomet:v:79:y:2023:i:1:p:178-189

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0006-341X

Access Statistics for this article

More articles in Biometrics from The International Biometric Society
Bibliographic data for series maintained by Wiley Content Delivery ().