期刊名称：International Journal of Statistics and Probability
印刷版ISSN：1927-7032
电子版ISSN：1927-7040
出版年度：2013
卷号：2
期号：3
页码：12
DOI：10.5539/ijsp.v2n3p12
出版社：Canadian Center of Science and Education
摘要：The single-index (SI) regression and single-index quantile (SIQ) estimation methods product linear combinations of all the original predictors. However, it is possible that there are many unimportant predictors within the original predictors. Thus, the precision of parameter estimation as well as the accuracy of prediction will be effected by the existence of those unimportant predictors when the previous methods are used.
In this article, an extension of the SIQ method of Wu et al. (2010) has been proposed, which considers Lasso and Adaptive Lasso for estimation and variable selection. Computational algorithms have been developed in order to calculate the penalized SIQ estimates. A simulation study and a real data application have been used to assess the performance of the methods under consideration.
