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Penalized high-dimensional M-quantile regression: From L-1 to L-p optimization

Hu, J; Chen, Y; Zhang, WP; Guo, X

Guo, X (corresponding author), Univ Sci & Technol China, Dept Stat & Finance, Hefei, Peoples R China.

CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2021; 49 (3): 875

Abstract

Quantiles and expectiles have been receiving much attention in many areas such as economics, ecology, and finance. By means of L-p optimization, both ......

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