The $\infty$-S test via regression quantile affine LASSO
Fuente:
arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866914211331833856 |
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| author | Sardy, Sylvain Mizera, Ivan Ma, Xiaoyu Gaible, Hugo |
| author_facet | Sardy, Sylvain Mizera, Ivan Ma, Xiaoyu Gaible, Hugo |
| contents | A novel test in the linear $\ell_1$ (LAD) and quantile regressions is proposed, based on the scores provided by the dual variables (signs) arising in the calculation of the (so-called) affine-lasso estimate--a Rao-type, Lagrange multiplier test using the thresholding, towards the null hypothesis of the test, function of the latter estimate. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_04256 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | The $\infty$-S test via regression quantile affine LASSO Sardy, Sylvain Mizera, Ivan Ma, Xiaoyu Gaible, Hugo Methodology A novel test in the linear $\ell_1$ (LAD) and quantile regressions is proposed, based on the scores provided by the dual variables (signs) arising in the calculation of the (so-called) affine-lasso estimate--a Rao-type, Lagrange multiplier test using the thresholding, towards the null hypothesis of the test, function of the latter estimate. |
| title | The $\infty$-S test via regression quantile affine LASSO |
| topic | Methodology |
| url | https://arxiv.org/abs/2409.04256 |