Focussed model selection in quantile regression

DOI10.5705/SS.2012.097MaRDI QIDQ5413274zbMATH OpenOpenAlexFDO

Authors Peter Behl, Gerda Claeskens, Holger Dette

Publication date 29 April 2014

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.2012.097

zbMATH Keywords

focused information criterionquantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cited in

(19)

• Regularized simultaneous model selection in multiple quantiles regression
• Model averaging procedure for varying-coefficient partially linear models with missing responses
• The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
• Efficient information-based criteria for model selection in quantile regression
• Focused information criterion and model averaging in censored quantile regression
• Computation and application of copula-based weighted average quantile regression
• Focused information criterion and model averaging in quantile regression
• A new model selection procedure based on dynamic quantile regression
• MINIMIZING AVERAGE RISK IN REGRESSION MODELS
• The Focused Information Criterion
• A high-dimensional focused information criterion
• Model selection and model averaging for semiparametric partially linear models with missing data
• Focused information criterion and model averaging for varying-coefficient partially linear models with longitudinal data
• Focused information criterion on predictive models in personalized medicine
• Focussed selection of the claim severity distribution
• The focussed information criterion for generalised linear regression models for time series
• Computing finite mixture estimators in the tails
• High-dimensional model averaging for quantile regression
• Asymptotically-exact selective inference for quantile regression

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