High-Dimensional Composite Quantile Regression: Optimal Statistical Guarantees and Fast Algorithms

TL;DR

This paper introduces a fast, gradient-based algorithm for high-dimensional composite quantile regression using a smoothed loss function, achieving optimal statistical guarantees and outperforming existing methods in efficiency.

Contribution

It develops a convolution-smoothed composite quantile regression method with an efficient gradient algorithm, providing near-minimax optimal convergence without moment constraints.

Findings

The proposed method is computationally faster than ADMM-based algorithms.

It achieves near-minimax optimal convergence rates under heavy-tailed errors.

Numerical results show significant computational advantages with maintained statistical accuracy.

Abstract

The composite quantile regression (CQR) was introduced by Zou and Yuan [Ann. Statist. 36 (2008) 1108--1126] as a robust regression method for linear models with heavy-tailed errors while achieving high efficiency. Its penalized counterpart for high-dimensional sparse models was recently studied in Gu and Zou [IEEE Trans. Inf. Theory 66 (2020) 7132--7154], along with a specialized optimization algorithm based on the alternating direct method of multipliers (ADMM). Compared to the various first-order algorithms for penalized least squares, ADMM-based algorithms are not well-adapted to large-scale problems. To overcome this computational hardness, in this paper we employ a convolution-smoothed technique to CQR, complemented with iteratively reweighted $\ell_1$-regularization. The smoothed composite loss function is convex, twice continuously differentiable, and locally strong convex with high probability. We propose a gradient-based algorithm for penalized smoothed CQR via a variant of the majorize-minimization principal, which gains substantial computational efficiency over ADMM. Theoretically, we show that the iteratively reweighted $\ell_1$-penalized smoothed CQR estimator achieves near-minimax optimal convergence rate under heavy-tailed errors without any moment constraint, and further achieves near-oracle convergence rate under a weaker minimum signal strength condition than needed in Gu and Zou (2020). Numerical studies demonstrate that the proposed method exhibits significant computational advantages without compromising statistical performance compared to two state-of-the-art methods that achieve robustness and high efficiency simultaneously.