Open AccessHigh-dimensional generalizations of asymmetric least squares regression and their applications
Author(s) -
Yuwen Gu,
Hui Zou
Publication year - 2016
Publication title -
annals of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 5.877
H-Index - 178
eISSN - 2168-8966
pISSN - 0090-5364
DOI - 10.1214/15-aos1431
Subject(s) - heteroscedasticity , mathematics , quantile regression , econometrics , lasso (programming language) , regression , dimension (graph theory) , statistics , least squares function approximation , regression analysis , ordinary least squares , conditional variance , scale (ratio) , computer science , autoregressive conditional heteroskedasticity , estimator , volatility (finance) , physics , quantum mechanics , world wide web , pure mathematics