Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: High-dimensional Censored Regression via the Penalized Tobit Likelihood   The Tobit model has long been the standard method for regression with a
left-censored response in economics. In spite of its enduring popularity, the
Tobit model has not been extended for high-dimensional regression. To fill this
gap, we propose several penalized Tobit models for high-dimensional censored
regression. We use Olsen's (1978) convex reparameterization of the Tobit
negative log-likelihood as the basis for our models, leveraging the fact that
the negative log-likelihood satisfies the quadratic majorization condition to
develop a generalized coordinate descent algorithm for computing the solution
path. Theoretically, we analyze the Tobit lasso and Tobit with a folded concave
penalty, deriving a bound for the $\ell_2$ estimation loss for the former and
proving that a local linear approximation estimator for the latter possesses
the strong oracle property. Through an extensive simulation study, we find that
our penalized Tobit models provide more accurate predictions and parameter
estimates than their least-squares counterparts on high-dimensional data with a
censored response. We demonstrate the superior prediction and variable
selection performance of the penalized Tobit models on Mroz's 1975 women's
labor supply data.

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The categories of this paper are: solv-int
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The categories of this paper are: q-alg
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The categories of this paper are: chem-ph
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The categories of this paper are: cond-mat
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The categories of this paper are: hep-th
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The categories of this paper are: adap-org
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The categories of this paper are: hep-ex
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The categories of this paper are: eess
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The categories of this paper are: q-fin
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The categories of this paper are: astro-ph
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The categories of this paper are: math-ph
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The categories of this paper are: ao-sci
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The categories of this paper are: hep-lat
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The categories of this paper are: nucl-ex
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The categories of this paper are: quant-ph
1
The categories of this paper are: cs