Combining regression quantile estimators

MaRDI QIDQ5325823zbMATH OpenFDO

Authors Kejia Shan, Yuhong Yang

Publication date 24 July 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N3/j19n316/j19n316.html

zbMATH Keywords

adaptive quantile regressionaggregation of estimatorsmodel combination

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Optimally combined estimation for tail quantile regression
• Combining forecast quantiles using quantile regression: Investigating the derived weights, estimator bias and imposing constraints
• Combining Estiamates in Regression and Classification
• Combining Independent Regression Estimators From Multiple Surveys
• A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
• A quasi-Bayesian model averaging approach for conditional quantile models
• Jackknife model averaging for high‐dimensional quantile regression
• Variance function estimation in regression model via aggregation procedures
• Model averaging for semiparametric varying coefficient quantile regression models
• Jackknife model averaging for composite quantile regression
• Forecasting high-dimensional non-normal time series using averaged quantile regression
• Fast inference for quantile regression with tens of millions of observations
• Combining least-squares and quantile regressions
• Minimax rates of convergence for nonparametric location-scale models
• Semiparametric model averaging for high-dimensional quantile regression with nonignorable nonresponse

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