Quantile regression: a penalization approach

Abstract: Sparse group LASSO (SGL) is a penalization technique used in regression problems where the covariates have a natural grouped structure and provides solutions that are both between and within group sparse. In this paper the SGL is introduced to the quantile regression (QR) framework, and a more flexible version, the adaptive sparse group LASSO (ASGL), is proposed. This proposal adds weights to the penalization improving prediction accuracy. Usually, adaptive weights are taken as a function of the original nonpenalized solution model. This approach is only feasible in the n > p framework. In this work, a solution that allows using adaptive weights in high-dimensional scenarios is proposed. The benefits of this proposal are studied both in synthetic and real datasets.