L1-Penalized quantile regression in high-dimensional sparse models
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- Alexandre Belloni & Victor Chernozhukov, 2009. "L1-Penalized Quantile Regression in High-Dimensional Sparse Models," Papers 0904.2931, arXiv.org, revised Sep 2019.
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- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2017. "Double/Debiased Machine Learning for Treatment and Structural Parameters," NBER Working Papers 23564, National Bureau of Economic Research, Inc.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey & James Robins, 2017. "Double/debiased machine learning for treatment and structural parameters," CeMMAP working papers CWP28/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Wolfgang Karl Härdle & David Kuo Chuen Lee & Sergey Nasekin & Alla Petukhina, 2018. "Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 49-63, January.
- Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019.
"Conditional quantile processes based on series or many regressors,"
Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val, 2011. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP19/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP46/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016. "Conditional quantile processes based on series or many regressors," CeMMAP working papers 46/16, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Iv'an Fern'andez-Val, 2011. "Conditional Quantile Processes based on Series or Many Regressors," Papers 1105.6154, arXiv.org, revised Aug 2018.
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- Zbonakova, L. & Härdle, W.K. & Wang, W., 2016. "Time Varying Quantile Lasso," Working Papers 16/07, Department of Economics, City University London.
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