Censored quantile regression processes under dependence and penalization
  We consider quantile regression processes from censored data under dependent data structures and derive a uniform Bahadur representation for those processes. We also consider cases where the dimension of the parameter in the quantile regression model is large. It is demonstrated that traditional penalized estimators such as the adaptive lasso yield sub-optimal rates if the coefficients of the quantile regression cross zero. New penalization techniques are introduced which are able to deal with specific problems of censored data and yield estimates with an optimal rate. In contrast to most of the literature, the asymptotic analysis does not require the assumption of independent observations, but is based on rather weak assumptions, which are satisfied for many kinds of dependent data. 
Stanislav Volgushev, Jens Wagener and Holger Dette
math.ST stat.ME stat.TH