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Quantile regression and variable selection of partial linear single-index model

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Listed:
  • Yazhao Lv
  • Riquan Zhang
  • Weihua Zhao
  • Jicai Liu

Abstract

Partial linear single-index model (PLSIM) is a flexible and applicable model when investigating the underlying relationship between the response and the multivariate covariates. Most previous studies on PLSIM concentrated on mean regression, based on least square or likelihood approach. In contrast to this method, in this paper, we propose minimizing average check loss estimation (MACLE) procedure to conduct quantile regression of PLSIM. We construct an initial consistent quantile regression estimator of the parametric part base multi-dimensional kernels, and further promote the estimation efficiency to the optimal rate. We discuss the optimal bandwidth selection method and establish the asymptotic normality of the proposed MACLE estimators. Furthermore, we consider an adaptive lasso penalized variable selection method and establish its oracle property. Simulation studies with various distributed error and a real data analysis are conducted to show the promise of our proposed methods. Copyright The Institute of Statistical Mathematics, Tokyo 2015

Suggested Citation

  • Yazhao Lv & Riquan Zhang & Weihua Zhao & Jicai Liu, 2015. "Quantile regression and variable selection of partial linear single-index model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(2), pages 375-409, April.
    • Handle: RePEc:spr:aistmt:v:67:y:2015:i:2:p:375-409
    DOI: 10.1007/s10463-014-0457-x
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    References listed on IDEAS

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    Cited by:

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    2. Hong-Xia Xu & Guo-Liang Fan & Zhen-Long Chen & Jiang-Feng Wang, 2018. "Weighted quantile regression and testing for varying-coefficient models with randomly truncated data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(4), pages 565-588, October.
    3. Suli Cheng & Jianbao Chen, 2021. "Estimation of partially linear single-index spatial autoregressive model," Statistical Papers, Springer, vol. 62(1), pages 495-531, February.
    4. Jiang, Rong & Qian, Wei-Min, 2016. "Quantile regression for single-index-coefficient regression models," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 305-317.
    5. Kangning Wang & Lu Lin, 2017. "Robust and efficient direction identification for groupwise additive multiple-index models and its applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 22-45, March.
    6. Zou, Yuye & Wu, Chengxin, 2023. "Composite quantile regression analysis of survival data with missing cause-of-failure information and its application to breast cancer clinical trial," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
    7. Hong-Xia Xu & Zhen-Long Chen & Jiang-Feng Wang & Guo-Liang Fan, 2019. "Quantile regression and variable selection for partially linear model with randomly truncated data," Statistical Papers, Springer, vol. 60(4), pages 1137-1160, August.

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