Focused Information Criterion and Model Averaging in Quantile Regression

DOI10.1080/03610926.2011.636858zbMath1462.62196OpenAlexW2042044631MaRDI QIDQ2864688

Zhong-Zhan Zhang, TianFa Xie, Jiang Du

Publication date: 26 November 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.636858

zbMATH Keywords

model selectionquantile regressionmodel uncertaintyfocused information criterion

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (5)

Model averaging based on rank ⋮ Model averaging for M-estimation ⋮ Estimation for the censored partially linear quantile regression models ⋮ Frequentist model averaging estimation for the censored partial linear quantile regression model ⋮ Focused information criterion and model averaging in censored quantile regression

Cites Work

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• Quantile regression in partially linear varying coefficient models
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• The Focused Information Criterion
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• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
• Least Squares Model Averaging
• An asymptotic theory for model selection inference in general semiparametric problems
• Optimal Model Assessment, Selection, and Combination

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