A note on L-estimates for linear models
From MaRDI portal
Let \(\rho_{\theta}(u)=\theta u-I_{(u<0)}\cdot u\). This note investigates the asymptotic distribution of the estimator of the vector \(\gamma\) of slope parameters in the model \(y_ i=\alpha +Z_ i\gamma +u\) determined by minimizing \(\sum_{j}\sum_{i}w_ j\rho_{\theta_ j}(y_ i-\alpha -Z_ i\gamma)\) for some choice of \(w_ j's\) and \(\theta_ j's\). It compares, in terms of asymptotic variance, this class of estimators and the class of averages of estimators \(\hat{\j}_{\theta_ j}\) obtained by minimizing \(\sum_{i}\rho_{\theta_ j}(y_ i-\alpha -Z_ i\gamma)\).
Recommendations
Cites work
- scientific article; zbMATH DE number 3271181 (Why is no real title available?)
- On some analogues to linear combinations of order statistics in the linear model
- On Some Useful "Inefficient" Statistics
- Regression Quantiles
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Trimmed Least Squares Estimation in the Linear Model
Cited in
(49)- One-step L-estimators for the linear model
- An effective method to reduce the computational complexity of composite quantile regression
- Quantile regression in varying-coefficient models: non-crossing quantile curves and heteroscedasticity
- Linear double autoregression
- Quantile regression for longitudinal data
- Bayesian quantile regression for parametric nonlinear mixed effects models
- Restricted regression quantiles
- Robust estimation of a location parameter with the integrated Hogg function
- Adaptive quantile regressions for massive datasets
- Inference for high-dimensional varying-coefficient quantile regression
- Group penalized quantile regression
- Scoring predictions at extreme quantiles
- Inference in functional linear quantile regression
- GMM quantile regression
- Composite versus model-averaged quantile regression
- Composite change point estimation for bent line quantile regression
- New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
- Bayesian joint-quantile regression
- Estimation of non-crossing quantile regression curves
- A quantile survival model for censored data
- Adaptively weighted kernel regression
- On Bayesian quantile regression using a pseudo-joint asymmetric Laplace likelihood
- EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
- Hypothesis testing for ARCH models: a multiple quantile regressions approach
- A note on reduction of the number of parameters in linear statistical models
- scientific article; zbMATH DE number 3856234 (Why is no real title available?)
- Unified Noncrossing Multiple Quantile Regressions Tree
- scientific article; zbMATH DE number 1053779 (Why is no real title available?)
- Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition
- scientific article; zbMATH DE number 775733 (Why is no real title available?)
- scientific article; zbMATH DE number 809188 (Why is no real title available?)
- Estimation of high conditional quantiles for heavy-tailed distributions
- Adaptive composite quantile regressions and their asymptotic relative efficiency
- Quantile regression for rating teams
- Expectile and quantile regression—David and Goliath?
- A Multilevel Simulation Optimization Approach for Quantile Functions
- Multiple quantile regression analysis of longitudinal data: heteroscedasticity and efficient estimation
- A note on the efficiency of composite quantile regression
- Asymptotics for panel quantile regression models with individual effects
- Efficient estimation for time-varying coefficient longitudinal models
- Robust estimation of derivatives using locally weighted least absolute deviation regression
- A general quantile function model for economic and financial time series
- Variable selection via composite quantile regression with dependent errors
- Composite expectile estimation in partial functional linear regression model
- Enhancing response predictions with a joint Gaussian process model for stochastic simulation models
- Efficient Estimation for Models With Nonlinear Heteroscedasticity
- Bayesian spatio-temporal modeling for the inpatient hospital costs of alcohol-related disorders
- Posterior rates of convergence for composite quantile regression
- Composite marginal quantile regression analysis for longitudinal adolescent body mass index data
This page was built for publication: A note on L-estimates for linear models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q580842)
