Adaptive Fused LASSO in Grouped Quantile Regression

Abstract: This paper considers quantile model with grouped explanatory variables. In order to have the sparsity of the parameter groups but also the sparsity between two successive groups of variables, we propose and study an adaptive fused group LASSO quantile estimator. The number of variable groups can be fixed or divergent. We find the convergence rate under classical assumptions and we show that the proposed estimator satisfies the oracle properties.