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Testing for Marginal Linear Effects in Quantile Regression.


ABSTRACT: This paper develops a new marginal testing procedure to detect the presence of significant predictors associated with the conditional quantiles of a scalar response. The idea is to fit the marginal quantile regression on each predictor one at a time, and then base the test on the t-statistics associated with the most predictive predictors. A resampling method is devised to calibrate this test statistic, which has non-regular limiting behavior due to the selection of the most predictive variables. Asymptotic validity of the procedure is established in a general quantile regression setting in which the marginal quantile regression models can be misspecified. Even though a fixed dimension is assumed to derive the asymptotic results, the proposed test is applicable and computationally feasible for large-dimensional predictors. The method is more flexible than existing marginal screening test methods based on mean regression, and has the added advantage of being robust against outliers in the response. The approach is illustrated using an application to an HIV drug resistance dataset.

SUBMITTER: Wang HJ 

PROVIDER: S-EPMC5863930 | biostudies-literature | 2018 Mar

REPOSITORIES: biostudies-literature

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Testing for Marginal Linear Effects in Quantile Regression.

Wang Huixia Judy HJ   McKeague Ian W IW   Qian Min M  

Journal of the Royal Statistical Society. Series B, Statistical methodology 20171023 2


This paper develops a new marginal testing procedure to detect the presence of significant predictors associated with the conditional quantiles of a scalar response. The idea is to fit the marginal quantile regression on each predictor one at a time, and then base the test on the <i>t</i>-statistics associated with the most predictive predictors. A resampling method is devised to calibrate this test statistic, which has non-regular limiting behavior due to the selection of the most predictive va  ...[more]

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