Sgouropoulos, Nikolaos; Yao, Qiwei; Yastremiz, Claudia - London School of Economics (LSE) - 2014
matching quantiles estimation (MQE) method for matching a target distribution by that of a linear combination of a set of … random variables. An iterative procedure based on the ordinary least squares estimation (OLS) is proposed to compute MQE. MQE … asymptotic properties of the estimation, both with or without LASSO, are established. A measure and an associated statistical …