Variable Selection for Additive Quantile Regression with Nonlinear Interaction Structures

Yongxin Bai, Jiancheng Jiang and Maozai Tian ()
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Yongxin Bai: School of Science, Beijing Information Science and Technology University, Beijing 100872, China
Jiancheng Jiang: Department of Mathematics and Statistics & School of Data Science, University of North Carolina at Charlotte, Charlotte, NC 28223, USA
Maozai Tian: Center for Applied Statistics, School of Statistics, Renmin University of China, Beijing 100192, China

Mathematics, 2025, vol. 13, issue 9, 1-28

Abstract: In high-dimensional data analysis, main effects and interaction effects often coexist, especially when complex nonlinear relationships are present. Effective variable selection is crucial for avoiding the curse of dimensionality and enhancing the predictive performance of a model. In this paper, we introduce a nonlinear interaction structure into the additive quantile regression model and propose an innovative penalization method. This method considers the complexity and smoothness of the additive model and incorporates heredity constraints on main effects and interaction effects through an improved regularization algorithm under marginality principle. We also establish the asymptotic properties of the penalized estimator and provide the corresponding excess risk. Our Monte Carlo simulations illustrate the proposed model and method, which are then applied to the analysis of Parkinson’s disease rating scores and further verify the effectiveness of a novel Parkinson’s disease (PD) treatment.

Keywords: additive model; interaction structures; tensor product; quantile regression (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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