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

model combinationaggregation of estimatorsadaptive quantile regression

Mathematics Subject Classification ID

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

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(18)

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• A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
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• Variance function estimation in regression model via aggregation procedures
• COBRA: a combined regression strategy
• Forecasting high-dimensional non-normal time series using averaged quantile regression
• Combining probabilistic forecasts of COVID-19 mortality in the United States
• Composite versus model-averaged quantile regression
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