Heteroscedasticity identification and variable selection via multiple quantile regression

DOI10.1080/00949655.2023.2243533MaRDI QIDQ6552567zbMATH OpenFDO

Authors Mingqiu Wang, Xiaoning Kang, Jiajuan Liang, Kun Wang, Yuan Shan Wu

Publication date 10 June 2024

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

Full work available at URL https://doi.org/10.1080/00949655.2023.2243533

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(1)

• Deep sub-ensembles meets quantile regression: uncertainty-aware imputation for time series

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