Composite quantile regression and the oracle model selection theory
Composite quantile regression and the oracle model selection theory
Coefficient estimation and variable selection in multiple linear regression is routinely done in the (penalized) least squares (LS) framework. The concept of model selection oracle introduced by Fan and Li [J. Amer. Statist. Assoc. 96 (2001) 1348--1360] characterizes the optimal behavior of a model selection procedure. However, the least-squares oracle …