Search Results - subject:"Composite quantile regression"

Testing in linear composite quantile regression models

Jiang, Rong; Qian, Wei-Min; Li, Jing-Ru - In: Computational Statistics 29 (2014) 5, pp. 1381-1402

Composite quantile regression (CQR) can be more efficient and sometimes arbitrarily more efficient than least squares …

Persistent link: https://www.econbiz.de/10010949803

Estimation and test procedures for composite quantile regression with covariates missing at random

Ning, Zijun; Tang, Linjun - In: Statistics & Probability Letters 95 (2014) C, pp. 15-25

In this paper, we study the weighted composite quantile regression (WCQR) for general linear model with missing …

Persistent link: https://www.econbiz.de/10010939467

Composite support vector quantile regression estimation

Shim, Jooyong; Hwang, Changha; Seok, Kyungha - In: Computational Statistics 29 (2014) 6, pp. 1651-1665

(CSVQR) that combines the formulations of support vector regression and composite quantile regression. First the CSVQR using …

Persistent link: https://www.econbiz.de/10011151858

Weighted composite quantile regression estimation of DTARCH models

Jiang, Jiancheng; Jiang, Xuejun; Song, Xinyuan - In: The econometrics journal 17 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010498763

Variable selection in high-dimensional partially linear additive models for composite quantile regression

Guo, Jie; Tang, Manlai; Tian, Maozai; Zhu, Kai - In: Computational Statistics & Data Analysis 65 (2013) C, pp. 56-67

A new estimation procedure based on the composite quantile regression is proposed for the semiparametric additive … penalty are considered, namely the composite quantile regression estimates and Lasso penalized composite quantile regression …

Persistent link: https://www.econbiz.de/10010871336

Two step composite quantile regression for single-index models

Jiang, Rong; Zhou, Zhan-Gong; Qian, Wei-Min; Chen, Yong - In: Computational Statistics & Data Analysis 64 (2013) C, pp. 180-191

This paper is concerned with composite quantile regression for single-index models. Under mild conditions, we show that … the linear composite quantile regression offers a consistent estimate of the index parameter vector. With a root …-n consistent estimate of the index vector, the unknown link function can be estimated by local composite quantile regression. This …

Persistent link: https://www.econbiz.de/10010871471

Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data

Wang, Jiang-Feng; Ma, Wei-Min; Zhang, Hui-Zeng; Wen, Li-Min - In: Statistics & Probability Letters 83 (2013) 6, pp. 1571-1579

In this paper, we construct a local linear composite quantile regression (CQR) estimator of regression function for …

Persistent link: https://www.econbiz.de/10010664060

Variable selection and coefficient estimation via composite quantile regression with randomly censored data

Jiang, Rong; Qian, Weimin; Zhou, Zhangong - In: Statistics & Probability Letters 82 (2012) 2, pp. 308-317

Composite quantile regression with randomly censored data is studied. Moreover, adaptive LASSO methods for composite … quantile regression with randomly censored data are proposed. The consistency, asymptotic normality and oracle property of the …

Persistent link: https://www.econbiz.de/10010576151

Weighted composite quantile estimation and variable selection method for censored regression model

Tang, Linjun; Zhou, Zhangong; Wu, Changchun - In: Statistics & Probability Letters 82 (2012) 3, pp. 653-663

This paper considers the weighted composite quantile (WCQ) regression for linear model with random censoring. The adaptive penalized procedure for variable selection in this model is proposed, and the consistency, asymptotic normality and oracle property of the resulting estimators are also...

Persistent link: https://www.econbiz.de/10010571788