Transfer Learning for High-dimensional Quantile Regression via Convolution Smoothing

Autor:	Zhang, Yijiao, Zhu, Zhongyi
Rok vydání:	2022
Předmět:	Statistics - Methodology
Druh dokumentu:	Working Paper
Popis:	This paper studies the high-dimensional quantile regression problem under the transfer learning framework, where possibly related source datasets are available to make improvements on the estimation or prediction based solely on the target data. In the oracle case with known transferable sources, a smoothed two-step transfer learning algorithm based on convolution smoothing is proposed and the L1/L2 estimation error bounds of the corresponding estimator are also established. To avoid including non-informative sources, we propose to select the transferable sources adaptively and establish its selection consistency under regular conditions. Monte Carlo simulations as well as an empirical analysis of gene expression data demonstrate the effectiveness of the proposed procedure. Comment: 27 pages, 6 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2212.00428 Zobrazit plný text záznamu View this record from Arxiv