Cai Li, Heping Zhang, TENSOR QUANTILE REGRESSION WITH APPLICATION TO ASSOCIATION BETWEEN NEUROIMAGES AND HUMAN INTELLIGENCE, The Annals of Applied Statistics, Vol. 15, No. 3 (September 2021), pp. 1455 ...

We propose and study a new iterative coordinate descent algorithm (QICD) for solving nonconvex penalized quantile regression in high dimension. By permitting different subsets of covariates to be ...