Local weighted composite quantile estimating for varying coefficient models

DOI10.3969/J.ISSN.1001-4268.2014.06.007MaRDI QIDQ5260214zbMATH OpenFDO

Authors Qichang Xie, Xiumei Lü

Publication date 29 June 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2014.06.007

zbMATH Keywords

asymptotic normalityvarying coefficient modelsasymptotic relative efficiencylocal weighted composite quantile estimating

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

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(7)

• A new local linear estimation method for varying coefficients models
• Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition
• Nonparametric estimation in generalized varying-coefficient models based on iterative weighted quasi-likelihood method
• Local rank inference for varying coefficient models
• New efficient and robust estimation in varying-coefficient models with heteroscedasticity
• Weighted local linear CQR for varying-coefficient models with missing covariates
• Weighted composite quantile regression estimation and variable selection for varying coefficient models with heteroscedasticity

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