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Weighted composite quantile estimation and variable selection method for censored regression model

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  • Tang, Linjun
  • Zhou, Zhangong
  • Wu, Changchun

Abstract

This paper considers the weighted composite quantile (WCQ) regression for linear model with random censoring. The adaptive penalized procedure for variable selection in this model is proposed, and the consistency, asymptotic normality and oracle property of the resulting estimators are also derived. The simulation studies and the analysis of an acute myocardial infarction data set are conducted to illustrate the finite sample performance of the proposed method.

Suggested Citation

  • Tang, Linjun & Zhou, Zhangong & Wu, Changchun, 2012. "Weighted composite quantile estimation and variable selection method for censored regression model," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 653-663.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:3:p:653-663
    DOI: 10.1016/j.spl.2011.11.021
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Hu Yang & Huilan Liu, 2016. "Penalized weighted composite quantile estimators with missing covariates," Statistical Papers, Springer, vol. 57(1), pages 69-88, March.
    2. Jiang, Rong & Qian, Wei-Min & Zhou, Zhan-Gong, 2016. "Weighted composite quantile regression for single-index models," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 34-48.
    3. Tang, Linjun & Zhou, Zhangong & Wu, Changchun, 2013. "Testing the linear errors-in-variables model with randomly censored data," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 875-884.
    4. Wang, Jiang-Feng & Ma, Wei-Min & Zhang, Hui-Zeng & Wen, Li-Min, 2013. "Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1571-1579.
    5. Jiang, Rong & Zhou, Zhan-Gong & Qian, Wei-Min & Chen, Yong, 2013. "Two step composite quantile regression for single-index models," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 180-191.
    6. Ning, Zijun & Tang, Linjun, 2014. "Estimation and test procedures for composite quantile regression with covariates missing at random," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 15-25.

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