A note on the efficiency of composite quantile regression

DOI10.1080/00949655.2015.1062096MaRDI QIDQ5222410zbMATH OpenOpenAlexFDO

Authors Kaifeng Zhao, Heng Lian

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1062096

zbMATH Keywords

asymptotic variancequantile regressionweighted composite quantile regression

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A note on L-estimates for linear models
• Composite quantile regression and the oracle model selection theory
• Local Composite Quantile Regression Smoothing: An Efficient and Safe Alternative to Local Polynomial Regression
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Oracle model selection for nonlinear models based on weighted composite quantile regression
• Regression Quantiles

Cited in

(20)

• Robust and efficient estimation with weighted composite quantile regression
• Composite quantile regression for correlated data
• Adaptive quantile regressions for massive datasets
• Multi-round smoothed composite quantile regression for distributed data
• Optimal subsampling for composite quantile regression model in massive data
• Testing in linear composite quantile regression models
• Composite versus model-averaged quantile regression
• Communication-efficient sparse composite quantile regression for distributed data
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Composite quantile regression for linear errors-in-variables models
• Composite quantile regression for massive datasets
• Adaptive composite quantile regressions and their asymptotic relative efficiency
• General composite quantile regression: Theory and methods
• Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking
• Optimal subsampling algorithms for composite quantile regression in massive data
• Quantile composite-based path modeling: algorithms, properties and applications
• High-dimensional composite quantile regression: optimal statistical guarantees and fast algorithms
• Bayesian additive tree ensembles for composite quantile regressions
• Posterior rates of convergence for composite quantile regression
• Composite quantile regression and the oracle model selection theory

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