Wild bootstrap inference for penalized quantile regression for longitudinal data
纵向数据惩罚分位数回归的野生 bootstrap 推断AI 解读 ↓
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纵向数据惩罚分位数回归的野生 bootstrap 推断AI 解读 ↓
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The existing theory of penalized quantile regression for longitudinal data has focused primarily on point estimation. In this work, we investigate statistical inference. We propose a wild residual bootstrap procedure and show that it is asymptotically valid for approximating the distribution of the penalized estimator. The model puts no restrictions on individual effects, and the estimator achieves consistency by letting the shrinkage decay in importance asymptotically. The new method is easy to implement and simulation studies show that it has accurate small sample behavior in comparison with existing procedures. Finally, we illustrate the new approach using U.S. Census data to estimate a model that includes more than eighty thousand parameters.