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stat.ME2022
A Unified Algorithm for Penalized Convolution Smoothed Quantile Regression
Rebeka Man, Xiaoou Pan, Kean Ming Tan +1
Penalized quantile regression (QR) is widely used for studying the relationship between a response variable and a set of predictors under data heterogeneity in high-dimensional set…
stat.ME2021★ 5 cited
High-Dimensional Quantile Regression: Convolution Smoothing and Concave Regularization
Kean Ming Tan, Lan Wang, Wen-Xin Zhou
-penalized quantile regression is widely used for analyzing high-dimensional data with heterogeneity. It is now recognized that the -penalty introduces non-negligib…