Limiting distributions for L₁ regression estimators under general conditions

DOI10.1214/AOS/1028144858MaRDI QIDQ1807095zbMATH OpenOpenAlexFDO

Authors Keith Knight

Publication date 9 November 1999

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1028144858

zbMATH Keywords

\(L_1\)-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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• Regression Quantiles
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• A note on self-weighted quantile estimation for infinite variance quantile autoregression models
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• Estimation and testing for time-varying quantile single-index models with longitudinal data
• Bootstrap inference for GARCH models by the least absolute deviation estimation
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• Sample quantile analysis for long-memory stochastic volatility models
• Varying-coefficient partially functional linear quantile regression models
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• Adaptive sup-norm regularized simultaneous multiple quantiles regression
• Improving estimation efficiency in quantile regression with longitudinal data
• The limiting distribution of least squares in an errors-in-variables regression model
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• A quantile varying-coefficient regression approach to length-biased data modeling
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• Variable selection in quantile regression when the models have autoregressive errors
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• Quantile regression for robust inference on varying coefficient partially nonlinear models
• Quantile estimation for a hybrid model of functional and varying coefficient regressions
• Regularization statistical inferences for partially linear models with high dimensional endogenous covariates
• Quantile autoregression for censored data
• Efficient minimum distance estimator for quantile regression fixed effects panel data
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• \(L_{1}\) regression estimate and its bootstrap
• Adaptive group Lasso selection in quantile models
• A weighted Wilcoxon estimate for the covariate-specific ROC curve
• Composite quantile periodogram for spectral analysis
• Composite quantile regression for varying-coefficient single-index models
• P-splines quantile regression estimation in varying coefficient models
• Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
• Robust median estimator in logistic regression
• Two step composite quantile regression for single-index models
• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• Jackknife model averaging for quantile regressions
• Weighted composite quantile estimation and variable selection method for censored regression model
• Variable selection and coefficient estimation via composite quantile regression with randomly censored data
• Generalised bootstrap in non-regular M-estimation problems
• Regularized LIML for many instruments
• Quantile regression for longitudinal data
• Quantile regression models with factor‐augmented predictors and information criterion
• Quantile regression for single-index-coefficient regression models
• Semi-functional partial linear quantile regression
• Generalized bootstrap for estimators of minimizers of convex functions
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization
• Strong oracle optimality of folded concave penalized estimation
• Variable selection in high-dimensional quantile varying coefficient models
• Composite quantile regression and variable selection in single-index coefficient model
• Quasi-maximum likelihood estimation for conditional quantiles
• Estimation and variable selection in single-index composite quantile regression
• Smoothed quantile regression for panel data
• An Overview of Asymptotic Properties ofL_pRegression Under General Classes of Error Distributions
• Composite quantile regression estimation of linear error-in-variable models using instrumental variables
• Limiting distributions of linear programming estimators
• Quantile regression and variable selection of single-index coefficient model
• Sparse estimation and inference for censored median regression
• Composite hierachical linear quantile regression
• Weighted composite quantile regression for single-index models
• Variable selection of the quantile varying coefficient regression models
• Weighted composite quantile regression estimation and variable selection for varying coefficient models with heteroscedasticity
• Single-index composite quantile regression
• M-estimation in linear models under nonstandard conditions.
• Quantile cointegration in the autoregressive distributed-lag modeling framework
• Model averaging for semiparametric varying coefficient quantile regression models
• Extremal quantile regression
• EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL

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