Variable selection in high-dimensional quantile varying coefficient models

Abstract

In this paper, we propose a two-stage variable selection procedure for high dimensional quantile varying coefficient models. The proposed method is based on basis function approximation and LASSO-type penalties. We show that the first stage penalized estimator with LASSO penalty reduces the model from ultra-high dimensional to a model that has size close to the true model, but contains the true model as a valid sub model. By applying adaptive LASSO penalty to the reduced model, the second stage excludes the remained irrelevant covariates, leading to an estimator consistent in variable selection. A simulation study and the analysis of a real data demonstrate that the proposed method performs quite well in finite samples, with regard to dimension reduction and variable selection.