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Support vector censored quantile regression under random censoring

  • Shim, Jooyong
  • Hwang, Changha
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    Censored quantile regression models have received a great deal of attention in both the theoretical and applied statistical literature. In this paper, we propose support vector censored quantile regression (SVCQR) under random censoring using iterative reweighted least squares (IRWLS) procedure based on the Newton method instead of usual quadratic programming algorithms. This procedure makes it possible to derive the generalized approximate cross validation (GACV) method for choosing the hyperparameters which affect the performance of SVCQR. Numerical results are then presented which illustrate the performance of SVCQR using the IRWLS procedure.

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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 53 (2009)
    Issue (Month): 4 (February)
    Pages: 912-919

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    Handle: RePEc:eee:csdana:v:53:y:2009:i:4:p:912-919
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    1. Yuan, Ming, 2006. "GACV for quantile smoothing splines," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 813-829, February.
    2. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    3. Lu, Xuewen & Cheng, Tsung-Lin, 2007. "Randomly censored partially linear single-index models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1895-1922, November.
    4. Azhong Ye & Rob J Hyndman & Zinai Li, 2006. "Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity," Monash Econometrics and Business Statistics Working Papers 8/06, Monash University, Department of Econometrics and Business Statistics.
    5. Lindgren, Anna, 1997. "Quantile regression with censored data using generalized L1 minimization," Computational Statistics & Data Analysis, Elsevier, vol. 23(4), pages 509-524, February.
    6. Qin, Gengsheng & Tsao, Min, 2003. "Empirical likelihood inference for median regression models for censored survival data," Journal of Multivariate Analysis, Elsevier, vol. 85(2), pages 416-430, May.
    7. Ali Gannoun & Jér�Me Saracco & Ao Yuan & George E. Bonney, 2005. "Non-parametric Quantile Regression with Censored Data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 527-550.
    8. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    9. Honore, Bo & Khan, Shakeeb & Powell, James L., 2002. "Quantile regression under random censoring," Journal of Econometrics, Elsevier, vol. 109(1), pages 67-105, July.
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