High-Dimensional Quantile Regression

Authored by: Alexandre Belloni , Victor Chernozhukov , Kengo Kato

Handbook of Quantile Regression

Print publication date:  October  2017
Online publication date:  October  2017

Print ISBN: 9781498725286
eBook ISBN: 9781315120256
Adobe ISBN:

10.1201/9781315120256-15

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Abstract

High-dimensional models arise from the need for practitioners to improve the accuracy and validity of current models and to handle the increasing availability of data. Large models can arise from using a very flexible specification with many parameters when the functional form is unknown or from having a data-rich environment with many variables that need to be incorporated into the model.

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