Single-index quantile regression

DOI10.1016/j.jmva.2010.02.003zbMath1189.62075OpenAlexW2028828492MaRDI QIDQ117474

Keming Yu, Tracy Z. Wu, Yan Yu, Tracy Zhou Wu, Yan Yu, Ke-ming Yu

Publication date: August 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/8975

zbMATH Keywords

conditional quantiledimension reductionsemiparametric modelnonparametric modellocal polynomial smoothingBoston housing data

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Related Items (only showing first 100 items - show all)

Variable selection in the single-index quantile regression model with high-dimensional covariates ⋮ Polynomial spline estimation of panel count data model with an unknown link function ⋮ Nonparametric and Semiparametric Quantile Regression via a New MM Algorithm ⋮ No-Crossing Single-Index Quantile Regression Curve Estimation ⋮ Quantile regression estimation for distortion measurement error data ⋮ A short note on fitting a single-index model with massive data ⋮ Estimation of value-at-risk using single index quantile regression ⋮ Quantile regression for single-index-coefficient regression models ⋮ Weighted composite quantile regression for single-index models ⋮ Testing structural change in partially linear single-index models with error-prone linear covariates ⋮ TENET: tail-event driven network risk ⋮ Partially linear modeling of conditional quantiles using penalized splines ⋮ Composite quasi-likelihood for single-index models with massive datasets ⋮ Composite quantile regression and variable selection in single-index coefficient model ⋮ Inference for single-index quantile regression models with profile optimization ⋮ A SINGLE-INDEX QUANTILE REGRESSION MODEL AND ITS ESTIMATION ⋮ Extreme Quantile Estimation Based on the Tail Single-index Model ⋮ Statistical inference on asymptotic properties of two estimators for the partially linear single-index models ⋮ Single-index composite quantile regression for ultra-high-dimensional data ⋮ Variable selection in heteroscedastic single-index quantile regression ⋮ Estimation and testing for time-varying quantile single-index models with longitudinal data ⋮ Estimation and variable selection for a class of quantile regression models with multiple index ⋮ Time-varying quantile single-index model for multivariate responses ⋮ NONPARAMETRIC WEIGHTED AVERAGE QUANTILE DERIVATIVE ⋮ Multivariate partially linear single-index models: Bayesian analysis ⋮ The single-index support vector regression model to address the problem of high dimensionality ⋮ GEE analysis for longitudinal single-index quantile regression ⋮ Bayesian single-index quantile regression for ordinal data ⋮ Single index quantile regression for censored data ⋮ Identification and estimation in quantile varying-coefficient models with unknown link function ⋮ Quantile regression and variable selection of single-index coefficient model ⋮ Estimation and variable selection for quantile partially linear single-index models ⋮ Change-point detection for the link function in a single-index model ⋮ A robust and efficient estimation method for single index models ⋮ Robust estimation in single-index models when the errors have a unimodal density with unknown nuisance parameter ⋮ Nonlinear dimension reduction for conditional quantiles ⋮ Zero finite-order serial correlation test in a partially linear single-index model ⋮ Bayesian quantile regression for single-index models ⋮ Robust direction identification and variable selection in high dimensional general single-index models ⋮ Variable selection and debiased estimation for single‐index expectile model ⋮ Variable selection in additive quantile regression using nonconcave penalty ⋮ Generalized expectile regression with flexible response function ⋮ Estimation of general semi-parametric quantile regression ⋮ Bayesian analysis in single-index quantile regression with missing observation ⋮ Robust estimation and selection for single-index regression model ⋮ Bayesian nonparametric modelling of the link function in the single-index model using a Bernstein–Dirichlet process prior ⋮ Empirical likelihood in single-index quantile regression with high dimensional and missing observations ⋮ Single-index composite quantile regression for massive data ⋮ Local quantile regression ⋮ Estimation and variable selection in single-index composite quantile regression ⋮ Quantile regression and variable selection for the single-index model ⋮ Single-index composite quantile regression ⋮ M-estimators for single-index model using B-spline ⋮ Bayesian elastic net single index quantile regression ⋮ The adaptive L1-penalized LAD regression for partially linear single-index models ⋮ Oracally efficient estimation for single-index link function with simultaneous confidence band ⋮ Tail dimension reduction for extreme quantile estimation ⋮ Quantile regression for robust inference on varying coefficient partially nonlinear models ⋮ Statistical estimation in partially linear single-index models with error-prone linear covariates ⋮ Adaptive varying-coefficient linear quantile model: a profiled estimating equations approach ⋮ Semiparametric efficiency for partially linear single-index regression models ⋮ Estimation and Inference Procedures for Semiparametric Distribution Models with Varying Linear‐Index ⋮ Local Walsh-average-based estimation and variable selection for single-index models ⋮ A robust and efficient estimation and variable selection method for partially linear single-index models ⋮ MODEL-FREE INFERENCE FOR TAIL RISK MEASURES ⋮ D-vine copula based quantile regression ⋮ Generalized Analysis-of-variance-type Test for the Single-index Quantile Model ⋮ siqr ⋮ Weighted composite quantile regression for single index model with missing covariates at random ⋮ Quantile index coefficient model with variable selection ⋮ Estimation for single-index and partially linear single-index integrated models ⋮ Robust variable selection in partially varying coefficient single-index model ⋮ Single-index modal regression via outer product gradients ⋮ Composite quantile regression for single-index models with asymmetric errors ⋮ Two step composite quantile regression for single-index models ⋮ Characterization of the asymptotic distribution of semiparametric M-estimators ⋮ Single index quantile regression for heteroscedastic data ⋮ Efficient estimation in single index models through smoothing splines ⋮ Two-stage estimation and simultaneous confidence band in partially nonlinear additive model ⋮ Composite quantile regression for varying-coefficient single-index models ⋮ Central quantile subspace ⋮ Robust estimation and variable selection for varying-coefficient single-index models based on modal regression ⋮ Penalized LAD Regression for Single-index Models ⋮ Sufficient dimension reduction for conditional quantiles with alternative types of data ⋮ Robust estimation of single index models with responses missing at random ⋮ GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS ⋮ Non-iterative Estimation and Variable Selection in the Single-index Quantile Regression Model ⋮ Econometric modeling of risk measures: a selective review of the recent literature ⋮ Quantile regression of partially linear single-index model with missing observations ⋮ Cluster-based least absolute deviation regression for dimension reduction ⋮ Quantile regression approach to conditional mode estimation ⋮ Unnamed Item ⋮ Transformed central quantile subspace ⋮ Sufficient dimension folding for a functional of conditional distribution of matrix- or array-valued objects ⋮ An elastic-net penalized expectile regression with applications ⋮ Estimating the conditional single-index error distribution with a partial linear mean regression ⋮ Single-index quantile regression with left truncated data ⋮ Extreme partial least-squares ⋮ Single-Index Quantile Regression Models for Censored Data ⋮ Quantile regression and variable selection of partial linear single-index model

Cites Work

• Unnamed Item
• Unnamed Item
• Nonparametric estimates of regression quantiles and their local Bahadur representation
• Consistent nonparametric regression. Discussion
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• On average derivative quantile regression
• Semiparametric methods in econometrics
• A comparison of local constant and local linear regression quantile estimators
• Optimal smoothing in single-index models
• Semi-parametric estimation of partially linear single-index models
• An Effective Bandwidth Selector for Local Least Squares Regression
• Investigating Smooth Multiple Regression by the Method of Average Derivatives
• Local Linear Quantile Regression
• Regression Quantiles
• A Fully Automated Bandwidth Selection Method for Fitting Additive Models
• Quantile smoothing splines
• Generalized Partially Linear Single-Index Models
• Penalized Spline Estimation for Partially Linear Single-Index Models
• On Additive Conditional Quantiles With High-Dimensional Covariates
• Goodness of Fit and Related Inference Processes for Quantile Regression
• An Adaptive Estimation of Dimension Reduction Space
• Local Linear Additive Quantile Regression
• Identifiability of single-index models and additive-index models
• Nonparametric Estimation of an Additive Quantile Regression Model

This page was built for publication: Single-index quantile regression