Local polynomial regression is a useful non-parametric regression tool to explore fine data structures and has been widely used in practice. We propose a new non-parametric regression technique called "local composite quantile regression smoothing" to improve local polynomial regression further....

type="main" xml:id="rssb12066-abs-0001" <title type="main">Summary</title> <p>We consider heteroscedastic regression models where the mean function is a partially linear single-index model and the variance function depends on a generalized partially linear single-index model. We do not insist that the variance function...</p>