The growth rate of significant regressors for high dimensional data

Qi Zheng, Colin Gallagher and K.B. Kulasekera

Statistics & Probability Letters, 2013, vol. 83, issue 9, 1969-1972

Abstract: We give a new consistency proof for high-dimensional quantile regression estimators. A consequence of this proof is that the number of significant regressors can grow at a rate slog2(s)=o(n). To our best knowledge, this is the fastest rate achieved for high-dimensional quantile regression.

Keywords: High dimension; Quantile regression; Increasing rate (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.04.029

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