A new weighted quantile regression

DOI10.1080/23311835.2017.1357237MaRDI QIDQ5193450zbMATH OpenOpenAlexFDO

Authors Mei-Ling Huang, Ramona Rat

Publication date 10 September 2019

Published in Cogent Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/23311835.2017.1357237

zbMATH Keywords

linear programmingconditional quantilegeneralized Pareto distributionweighted loss functionbivariate Pareto distribution type IIkernel conditional density estimator

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

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Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 3008134 (Why is no real title available?)
• scientific article; zbMATH DE number 837911 (Why is no real title available?)
• A weighted linear quantile regression
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Extreme value theory. An introduction.
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Nonparametric econometrics. Theory and practice.
• Pareto distributions
• Quantile regression.
• Regression Quantiles
• Statistical inference using extreme order statistics

Cited in

(10)

• Weighted l₁‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors
• Multivariate copula-based conditional quantiles: analytic higher-order moments and ratio estimation approaches
• Robust and efficient estimation with weighted composite quantile regression
• An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
• A weighted linear quantile regression
• A simple approach to simultaneous quantile regression under partial homogeneity constraints
• High quantile regression for extreme events
• Weighted quantile regression with nonelliptically structured covariates
• On comparison of estimation methods in quantile regression
• Weighted quantile regression for longitudinal data

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