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The penalized integrated loss\nminimization estimator (lasso and group lasso penalties) of\nSottile, Frumento, Chiodi and Bottai (2020)\n performs covariate selection\nusing the information on all quantiles simultaneously.\nNonlinear parametric quantile models, in which the conditional\nquantile function can be a nonlinear function of the\nparameters, of the covariates or both, are estimated by\nintegrated loss minimization as in Bottai and Cilluffo (2020)\n. 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