L1-Penalized Quantile Regression in High Dimensional Sparse Models
L1-Penalized Quantile Regression in High Dimensional Sparse Models
We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these models the overall number of regressors p is very large, possibly larger than the sample size n, but only s of these regressors have non-zero impact on the conditional quantile of the response variable, where …