Variable selection and subgroup analysis for high-dimensional censored data

Yu Zhang, Jiangli Wang and Weiping Zhang

Statistical Theory and Related Fields, 2024, vol. 8, issue 3, 211-231

Abstract: This paper proposes a penalized method for high-dimensional variable selection and subgroup identification in the Tobit model. Based on Olsen's [(1978). Note on the uniqueness of the maximum likelihood estimator for the Tobit model. Econometrica: Journal of the Econometric Society, 46(5), 1211–1215. https://doi.org/10.2307/1911445] convex reparameterization of the Tobit negative log-likelihood, we develop an efficient algorithm for minimizing the objective function by combining the alternating direction method of multipliers (ADMM) and generalised coordinate descent (GCD). We also establish the oracle properties of our proposed estimator under some mild regularity conditions. Furthermore, extensive simulations and an empirical data study are conducted to demonstrate the performance of the proposed approach.

Date: 2024
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DOI: 10.1080/24754269.2024.2327113

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