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...
