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Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso

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  • Wang, Hansheng
  • Li, Guodong
  • Jiang, Guohua

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 25 (2007)
Issue (Month): (July)
Pages: 347-355

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Handle: RePEc:bes:jnlbes:v:25:y:2007:p:347-355

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Cited by:
  1. Jiang, Rong & Qian, Weimin & Zhou, Zhangong, 2012. "Variable selection and coefficient estimation via composite quantile regression with randomly censored data," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 308-317.
  2. Dries Benoit & Rahim Alhamzawi & Keming Yu, 2013. "Bayesian lasso binary quantile regression," Computational Statistics, Springer, vol. 28(6), pages 2861-2873, December.
  3. Barrera, Carlos, 2010. "¿Respuesta asimétrica de precios domésticos de combustibles ante choques en el WTI?," Working Papers 2010-016, Banco Central de Reserva del Perú.
  4. Barrera, Carlos R., 2011. "Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles," Working Papers 2011-009, Banco Central de Reserva del Perú.
  5. Arslan, Olcay, 2012. "Weighted LAD-LASSO method for robust parameter estimation and variable selection in regression," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1952-1965.
  6. Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
  7. R. Alhamzawi & K. Yu & D. F. Benoit, 2011. "Bayesian adaptive Lasso quantile regression," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/728, Ghent University, Faculty of Economics and Business Administration.
  8. Lv, Zhike & Zhu, Huiming & Yu, Keming, 2014. "Robust variable selection for nonlinear models with diverging number of parameters," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 90-97.
  9. Pötscher, Benedikt M. & Schneider, Ulrike, 2007. "On the distribution of the adaptive LASSO estimator," MPRA Paper 6913, University Library of Munich, Germany.
  10. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
  11. N. Neykov & P. Filzmoser & P. Neytchev, 2014. "Ultrahigh dimensional variable selection through the penalized maximum trimmed likelihood estimator," Statistical Papers, Springer, vol. 55(1), pages 187-207, February.
  12. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.

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