Optimally combined estimation for tail quantile regression

DOI10.5705/SS.2014.051MaRDI QIDQ3465106zbMATH OpenOpenAlexFDO

Authors Kehui Wang, Huixia Judy Wang

Publication date 28 January 2016

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.2014.051

zbMATH Keywords

asymptotic distributionsefficiencyextreme value indexinformation aggregationjoint-quantile regressionoptimal weightsregularly varying

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Ridge regression; shrinkage estimators (Lasso) (62J07)

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• Estimation of high conditional quantiles for heavy-tailed distributions
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Cited in

(14)

• Inference in functional linear quantile regression
• GMM quantile regression
• Composite versus model-averaged quantile regression
• Bayesian joint-quantile regression
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Model averaging for multiple quantile regression with covariates missing at random
• A two-stage procedure to pool information across quantile levels in linear quantile regression
• Extreme value inference for quantile regression with varying coefficients
• Estimation of complier expected shortfall treatment effects with a binary instrumental variable
• Composite expectile estimation in partial functional linear regression model
• Quasi-Bayesian Inference for Production Frontiers
• Efficient Estimation for Models With Nonlinear Heteroscedasticity
• Weighted composite quantile regression estimation of partial functional linear model with censored response
• Improving estimation efficiency in quantile regression with longitudinal data

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