SPARSE AND LOW-RANK MATRIX QUANTILE ESTIMATION WITH APPLICATION TO QUADRATIC REGRESSION

Authors：Lu, Wenqi; Zhu, Zhongyi; Lian, Heng^*

Source：Statistica Sinica, 2023, 33(2): 945-959.

DOI：10.5705/ss.202021.0140

• Dual norm
• interaction effects
• matrix regression
• penalization

This study examines matrix quantile regression where the covariate is a matrix and the response is a scalar. Although the statistical estimation of ma-trix regression is an active field of research, few studies examine quantile regression with matrix covariates. We propose an estimation procedure based on convex reg-ularizations in a high-dimensional setting. In order to reduce the dimensionality, the coefficient matrix is assumed to be low rank and/or sparse. Thus, we impose two regularizers to encourage different low-dimensional structures. We develop the asymptotic properties and an implementation based on the incremental proximal gradient algorithm. We then apply the proposed estimator to quadratic quantile regression, and demonstrate its advantages using simulations and a real-data analysis.

• Institution
  复旦大学; 南开大学