Variable selection in censored quantile regression with high dimensional data |
| |
Authors: | Yali Fan Yanlin Tang Zhongyi Zhu |
| |
Institution: | 1.College of Science,University of Shanghai for Science and Technology,Shanghai,China;2.School of Mathematical Sciences,Tongji University,Shanghai,China;3.Department of Statistics,Fudan University,Shanghai,China |
| |
Abstract: | We propose a two-step variable selection procedure for censored quantile regression with high dimensional predictors. To account for censoring data in high dimensional case, we employ effective dimension reduction and the ideas of informative subset idea. Under some regularity conditions, we show that our procedure enjoys the model selection consistency. Simulation study and real data analysis are conducted to evaluate the finite sample performance of the proposed approach. |
| |
Keywords: | |
本文献已被 CNKI SpringerLink 等数据库收录! |
|