Title: Cross validation for penalized quantile regression with a case-weight adjusted solution path
Authors: Shanshan Tu - Ohio State University (United States)
Yunzhang Zhu - Ohio State University (United States)
Yoonkyung Lee - Ohio State University (United States) [presenting]
Abstract: Cross validation is widely used for selecting tuning parameters in regularization methods, but it is computationally intensive in general. To lessen its computational burden, approximation schemes such as generalized approximate cross validation (GACV) are often employed. However, such approximations may not work well when non-smooth loss functions are involved. As a case in point, approximate cross validation schemes for penalized quantile regression do not work well for extreme quantiles. We propose a new algorithm to compute the leave-one-out cross validation scores exactly for quantile regression with ridge penalty through a case-weight adjusted solution path. Resorting to the homotopy technique in optimization, we introduce a continuous embedding parameter-a case weight for each individual case and decrease the weight gradually from one to zero to link the estimators based on the full data and those with some case deleted. This allows us to design a solution path algorithm to compute all leave-one-out estimators very efficiently from the full-data solution. We show that the case-weight adjusted solution path is piecewise linear in the weight parameter, and using the solution path, we examine case influences comprehensively and observe that different modes of case influences emerge, depending on the specified quantiles, data dimensions and penalty parameter.