Wild residual bootstrap inference for penalized quantile regression with heteroscedastic errors
异方差误差下惩罚分位数回归的野生残差自助推断
We consider a heteroscedastic regression model in which some of the regression coefficients are zero but it is not known which ones. Penalized quantile regression is a useful approach for analysing such data. By allowing different covariates to be relevant for modelling conditional quantile functions at different quantile levels, it provides a more complete picture of the conditional distribution of a response variable than mean regression. Existing work on penalized…