Iteratively reweighted constrained quantile regressions

DOI10.17654/AS049060417MaRDI QIDQ2967650zbMATH OpenFDO

Authors Ilaria L. Amerise

Publication date 1 March 2017

Published in Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL http://www.pphmj.com/abstract/10380.htm

zbMATH Keywords

global goodness-of-fitlinear programmingmonotonicityperformance evaluation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear programming (90C05)

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(5)

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• A comparative study of monotone quantile regression methods for financial returns
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• Constrained quantile regression and heteroskedasticity
• Iterative weighted LAD estimation with homoskedasticity testing using the Gini concentration index

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