Limiting distributions for \(L_1\) regression estimators under general conditions

From MaRDI portal

Publication:1807095

Jump to:navigation, search

DOI10.1214/aos/1028144858zbMath0929.62021OpenAlexW2030339186MaRDI QIDQ1807095

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

Related Items

Efficient inverse probability weighting method for quantile regression with nonignorable missing data, Composite quantile regression for heteroscedastic partially linear varying-coefficient models with missing censoring indicators, Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models, Shrinkage quantile regression for panel data with multiple structural breaks, Doubly robust weighted composite quantile regression based on SCAD‐L₂, Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood, Variable selection via composite quantile regression with dependent errors, SCAD‐penalized quantile regression for high‐dimensional data analysis and variable selection, Quantile forward regression for high-dimensional survival data, Bayesian analysis in single-index quantile regression with missing observation, Functional single-index composite quantile regression, Two-step estimation of censored quantile regression for duration models with time-varying regressors, Wild bootstrap inference for penalized quantile regression for longitudinal data, Semiparametric model averaging for ultrahigh-dimensional conditional quantile prediction, Semiparametric function-on-function quantile regression model with dynamic single-index interactions, Variable selection for nonparametric quantile regression via measurement error model, Distributed smoothed rank regression with heterogeneous errors for massive data, Optimal subsampling algorithms for composite quantile regression in massive data, Communication-efficient surrogate quantile regression for non-randomly distributed system, Partially functional linear quantile regression model and variable selection with censoring indicators MAR, Composite quantile regression analysis of survival data with missing cause-of-failure information and its application to breast cancer clinical trial, Asymptotics for penalized spline estimators in quantile regression, Nonequivalence of two least-absolute-deviation estimators for mediation effects, Quantile regression for compositional covariates, Bent-cable quantile regression model, Model averaging for semiparametric varying coefficient quantile regression models, Least absolute deviation estimation for AR(1) processes with roots close to unity, Nonlinear regression models with single‐index heteroscedasticity, Time-varying forecast combination for factor-augmented regressions with smooth structural changes, Quantile regression and variable selection for the single-index model, Local composite quantile regression estimation of time-varying parameter vector for multidimensional time-inhomogeneous diffusion models, Averaged Autoregression Quantiles in Autoregressive Model, Weighted composite quantile regression for partially linear varying coefficient models, Variable selection and weighted composite quantile estimation of regression parameters with left-truncated data, LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS, On Testing the Equality of Mean and Quantile Effects, Adaptive sup-norm regularized simultaneous multiple quantiles regression, Sample heterogeneity and M-estimation, Weighted quantile regression with missing covariates using empirical likelihood, ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE, A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS, SEMIPARAMETRIC ESTIMATION OF CENSORED SPATIAL AUTOREGRESSIVE MODELS, Conditional median absolute deviation, A weighted linear quantile regression, Hierarchically penalized quantile regression, Quantile estimation of partially varying coefficient model for panel count data with informative observation times, Common threshold in quantile regressions with an application to pricing for reputation, Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors, Testing for a unit root in a nonlinear quantile autoregression framework, Weighted empirical likelihood for quantile regression with non ignorable missing covariates, Weighted composite quantile regression analysis for nonignorable missing data using nonresponse instrument, Generalised bootstrap in non-regular M-estimation problems, Quasi-maximum likelihood estimation for conditional quantiles, Bootstrapping point processes with some applications, Robust estimation of semiparametric transformation model for panel count data, Quantile regression for single-index-coefficient regression models, Weighted composite quantile regression for single-index models, Robust and efficient estimation with weighted composite quantile regression, Self-weighted quantile estimation of autoregressive conditional duration model, Estimation and variable selection for partially functional linear models, Smoothed quantile regression for panel data, Composite quantile regression and variable selection in single-index coefficient model, Quantile regression for longitudinal data, Regularization statistical inferences for partially linear models with high dimensional endogenous covariates, Instrumental variable quantile regression: a robust inference approach, Robust estimation for partial functional linear regression models based on FPCA and weighted composite quantile regression, Inference in functional linear quantile regression, Local asymptotics for nonparametric quantile regression with regression splines, Quantile estimation for a hybrid model of functional and varying coefficient regressions, A propensity score adjustment method for regression models with nonignorable missing covariates, Robust variable selection of joint frailty model for panel count data, Quantile correlation coefficient: a new tail dependence measure, Quantile regression for partially linear varying-coefficient model with censoring indicators missing at random, Estimation and testing for time-varying quantile single-index models with longitudinal data, Semiparametric quantile estimation for varying coefficient partially linear measurement errors models, Block average quantile regression for massive dataset, Rates of convergence of \(L_p\)-estimators for a density with an infinity cusp, Group selection via adjusted weighted least absolute deviation regression, Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data, Variable selection in high-dimensional quantile varying coefficient models, Sample quantile analysis for long-memory stochastic volatility models, Variable selection of the quantile varying coefficient regression models, Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression, Statistical inference for quantiles in the frequency domain, Composite hierachical linear quantile regression, Robust direction identification and variable selection in high dimensional general single-index models, The quantile process under random censoring, The moderate deviation principle for minimizers of convex processes, Improving estimation efficiency in quantile regression with longitudinal data, Estimation of general semi-parametric quantile regression, 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, Model selection in high-dimensional quantile regression with seamless \(L_0\) penalty, Variance function additive partial linear models, A weighted Wilcoxon estimate for the covariate-specific ROC curve, Generalized bootstrap for estimators of minimizers of convex functions, Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization, Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes, Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data, Single-index composite quantile regression, General \(M\)-estimation and its bootstrap, Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models, P-splines quantile regression estimation in varying coefficient models, Estimation and test procedures for composite quantile regression with covariates missing at random, M-estimation in linear models under nonstandard conditions., An empirical likelihood approach to quantile regression with auxiliary information, Semi-functional partial linear quantile regression, Composite quantile regression and the oracle model selection theory, Efficient minimum distance estimator for quantile regression fixed effects panel data, SCAD penalized rank regression with a diverging number of parameters, Joint modeling for mixed-effects quantile regression of longitudinal data with detection limits and covariates measured with error, with application to AIDS studies, A quantile varying-coefficient regression approach to length-biased data modeling, Variable selection in quantile regression when the models have autoregressive errors, Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors, Weighted local linear CQR for varying-coefficient models with missing covariates, Focused information criterion and model averaging with generalized rank regression, Robust estimation and variable selection in censored partially linear additive models, Quantile regression for robust inference on varying coefficient partially nonlinear models, Robust median estimator in logistic regression, A note on self-weighted quantile estimation for infinite variance quantile autoregression models, Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models, Inference for spatial autoregressive models with infinite variance noises, Penalized weighted composite quantile regression for partially linear varying coefficient models with missing covariates, Optimal subsampling for large-scale quantile regression, Asymptotics for panel quantile regression models with individual effects, Causal inference by quantile regression kink designs, A panel quantile approach to attrition bias in big data: evidence from a randomized experiment, Sparse estimation and inference for censored median regression, Quantile regression and variable selection for partially linear model with randomly truncated data, Quantile cointegration in the autoregressive distributed-lag modeling framework, Quantile regression under local misspecification, A generalized partially linear framework for variance functions, Adjusted extreme conditional quantile autoregression with application to risk measurement, Robust penalized quantile regression estimation for panel data, Composite quantile regression for single-index models with asymmetric errors, Pursuit of dynamic structure in quantile additive models with longitudinal data, Two step composite quantile regression for single-index models, Estimating structural changes in regression quantiles, Testing linearity against threshold effects: uniform inference in quantile regression, Quantile inference for nonstationary processes with infinite variance innovations, Asymptotics for argmin processes: convexity arguments, Quantile trace regression via nuclear norm regularization, Asymptotic properties of penalized spline estimators in concave extended linear models: rates of convergence, \(L_{1}\) regression estimate and its bootstrap, Optimal subsampling for composite quantile regression in big data, Estimation and inferences for varying coefficient partially nonlinear quantile models with censoring indicators missing at random, Single-index quantile regression with left truncated data, Regularization of case-specific parameters for robustness and efficiency, LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise, Penalized weighted composite quantile estimators with missing covariates, Single-index composite quantile regression with heteroscedasticity and general error distributions, WLAD-LASSO method for robust estimation and variable selection in partially linear models, Quantile regression estimation for distortion measurement error data, Efficient estimation of panel count data with dependent observation process, Weighted quantile regression for longitudinal data using empirical likelihood, Robust sparse regression by modeling noise as a mixture of gaussians, Network-adaptive robust penalized estimation of time-varying coefficient models with longitudinal data, THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS, Local composite quantile regression smoothing for Harris recurrent Markov processes, Simultaneous estimation for non-crossing multiple quantile regression with right censored data, Adaptive group Lasso selection in quantile models, Online Linear Programming: Dual Convergence, New Algorithms, and Regret Bounds, The growth rate of significant regressors for high dimensional data, SCAD-Penalized Least Absolute Deviation Regression in High-Dimensional Models, Event count estimation, Extremal quantile regression, Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified, Variable selection and parameter estimation via WLAD-SCAD with a diverging number of parameters, Varying-coefficient partially functional linear quantile regression models, A weighted quantile regression for nonlinear models with randomly censored data, Estimation and variable selection for a class of quantile regression models with multiple index, Extreme value inference for quantile regression with varying coefficients, Rank-based estimation in varying coefficient partially functional linear regression models, Weighted composite quantile regression with censoring indicators missing at random, On robust spectral analysis by least absolute deviations, Detection of marginal heteroscedasticity for partial linear single-index models, Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications, Testing symmetry for additive distortion measurement errors data, Shrinkage estimation for identification of linear components in composite quantile additive models, Double penalized quantile regression for the linear mixed effects model, Discriminant analysis by quantile regression with application on the climate change problem, Quantile regression and variable selection of single-index coefficient model, Composite quantile regression for massive datasets, Unnamed Item, Unnamed Item, QUANTILE DOUBLE AUTOREGRESSION, Partially linear estimation using sufficient dimension reduction, Virtual historical simulation for estimating the conditional VaR of large portfolios, Quantile Regression on Quantile Ranges - A Threshold Approach, Adaptive penalized weighted least absolute deviations estimation for the accelerated failure time model, Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation, QUANTILOGRAMS UNDER STRONG DEPENDENCE, Unnamed Item, \(\ell_1\)-penalized quantile regression in high-dimensional sparse models, New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models, Single-index composite quantile regression for massive data, Estimation and variable selection in single-index composite quantile regression, Asymptotic Tail Bounds for the Dempfle-Stute Estimator in General Regression Models, Quantile regression estimation for discretely observed SDE models with compound Poisson jumps, Developing ridge estimation method for median regression, New efficient estimation and variable selection in models with single-index structure, Robust nonlinear regression estimation in null recurrent time series, MinimumL_pNorm Estimator for Simple Linear Regressive Model, Distance-covariance-based tests for heteroscedasticity in nonlinear regressions, Robust communication-efficient distributed composite quantile regression and variable selection for massive data, Composite quantile estimation in partial functional linear regression model based on polynomial spline, Additive models for extremal quantile regression with Pareto-type distributions, Quantile regression models with factor‐augmented predictors and information criterion, Unnamed Item, LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES, Testing in linear composite quantile regression models, Least absolute value regression: recent contributions, \(L_1\)-estimation for the location parameters in stochastic volatility models, Screening and selection for quantile regression using an alternative measure of variable importance, Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY, Composite Quantile Periodogram for Spectral Analysis, Weighted composite quantile regression for single index model with missing covariates at random, Statistical inference for autoregressive models under heteroscedasticity of unknown form, Strong oracle optimality of folded concave penalized estimation, Efficient estimation and variable selection for infinite variance autoregressive models, Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance, Weighted composite quantile regression estimation and variable selection for varying coefficient models with heteroscedasticity, Computation and application of copula-based weighted average quantile regression, Randomly weighted LAD-estimation for partially linear errors-in-variables models, Optimal smoothing in nonparametric conditional quantile derivative function estimation, Penalised quantile periodogram for spectral estimation, Changepoint detection by the quantile Lasso method, Asymptotics ofL₁-Estimators in Moving Average Time Series Models, EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL, Composite quantile regression for varying-coefficient single-index models, Simultaneous confidence bands for extremal quantile regression with splines, Composite quantile regression estimation of linear error-in-variable models using instrumental variables, Quantile Autoregression for Censored Data, Robust adaptive Lasso for variable selection, Model averaging for multiple quantile regression with covariates missing at random, Composite quantile estimation in partial functional linear regression model with dependent errors, Least absolute relative error estimation for functional quadratic multiplicative model, Weighted quantile regression and testing for varying-coefficient models with randomly truncated data, On multivariate quantile regression analysis, Asymptotic inference for the constrained quantile regression process, Predictive quantile regressions under persistence and conditional heteroskedasticity, Robust check loss-based inference of semiparametric models and its application in environmental data, Adaptively weighted kernel regression, Nonparametric estimation and inference on conditional quantile processes, Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis, Quantile Periodograms, Design-adaptive nonparametric estimation of conditional quantile derivatives, Weighted quantile regression for AR model with infinite variance errors, Quantile regression and variable selection of partial linear single-index model, Jackknife model averaging for quantile regressions, UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1807095&oldid=14166038"