This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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106
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Type:
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Invited
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Date/Time:
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Monday, August 2, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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International Association for Statistical Computing
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| Abstract - #306024 |
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Title:
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Additive Models for Quantile Regression: Selection and Postselection Inference
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Author(s):
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Roger Koenker*+
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Companies:
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University of Illinois
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Address:
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Department of Economics, Champaign, IL, 61820,
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Keywords:
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Abstract:
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We consider a class of models for conditional quantile functions with additive nonparametric components. Smoothness of the nonparametric components is controlled by constraining the total variation of derivatives, while a lasso penalty is imposed on the parametric components. Model selection of the smoothing and lasso lambda parameters, and post-selection inference on model effects will be emphasized.
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