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Multitask Quantile Regression under the Transnormal Model
We consider estimating multi-task quantile regression under the transnormal model, with focus on high-dimensional setting. We derive a surprisingly simple closed-form solution through rank-based covariance regularization. In particular, we propose the rank-based ℓ(1) penalization with positive defin...
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| Publicado no: | J Am Stat Assoc |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2017
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5662245/ https://ncbi.nlm.nih.gov/pubmed/29097827 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2015.1113973 |
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