Penalized weighted smoothed quantile regression for high-dimensional longitudinal data.

Quantile regression, known as a robust alternative to linear regression, has been widely used in statistical modeling and inference. In this paper, we propose a penalized weighted convolution-type smoothed method for variable selection and robust parameter estimation of the quantile regression with high dimensional longitudinal data. The proposed method utilizes a twice-differentiable and smoothed loss function instead of the check function in quantile regression without penalty, and can select the important covariates consistently using the efficient gradient-based iterative algorithms when the dimension of covariates is larger than the sample size. Moreover, the proposed method can circumvent the influence of outliers in the response variable and/or the covariates. To incorporate the correlation within each subject and enhance the accuracy of the parameter estimation, a two-step weighted estimation method is also established. Furthermore, we prove the oracle properties of the proposed method under some regularity conditions. Finally, the performance of the proposed method is demonstrated by simulation studies and two real examples.