We propose a penalized quantile regression and an independence screening procedure to identify important covariates and to exclude unimportant ones for a general class of ultrahigh dimensional single ...

Haolei Weng, Yang Feng, Xingye Qiao, REGULARIZATION AFTER RETENTION IN ULTRAHIGH DIMENSIONAL LINEAR REGRESSION MODELS, Statistica Sinica, Vol. 29, No. 1 (2019), pp. 387-407 ...