Limiting distributions for L₁ regression estimators under general conditions

DOI10.1214/AOS/1028144858zbMATH Open0929.62021OpenAlexW2030339186MaRDI QIDQ1807095FDOQ1807095

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

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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)

Cites Work

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• Distributional convergence of M-estimators under unusual rates
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Cited In (only showing first 100 items - show all)

• A note on self-weighted quantile estimation for infinite variance quantile autoregression models
• The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
• Estimation and variable selection for partially functional linear models
• Doubly robust weighted composite quantile regression based on SCAD‐L₂
• Penalized weighted composite quantile regression for partially linear varying coefficient models with missing covariates
• Sample heterogeneity and M-estimation
• Efficient estimation and variable selection for infinite variance autoregressive models
• Quantile autoregression for censored data
• The limiting distribution of least squares in an errors-in-variables regression model
• A weighted linear quantile regression
• Robust and efficient estimation with weighted composite quantile regression
• Nonparametric estimation and inference on conditional quantile processes
• A propensity score adjustment method for regression models with nonignorable missing covariates
• Self-weighted quantile estimation of autoregressive conditional duration model
• Weighted quantile regression for AR model with infinite variance errors
• Quantile regression for partially linear varying-coefficient model with censoring indicators missing at random
• Quantile regression under local misspecification
• Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
• Adaptive sup-norm regularized simultaneous multiple quantiles regression
• Estimation and variable selection for a class of quantile regression models with multiple index
• Quantile estimation for a hybrid model of functional and varying coefficient regressions
• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• Composite quantile regression for single-index models with asymmetric errors
• A weighted Wilcoxon estimate for the covariate-specific ROC curve
• Adaptive group Lasso selection in quantile models
• Sample quantile analysis for long-memory stochastic volatility models
• Bootstrapping point processes with some applications
• Composite quantile periodogram for spectral analysis
• New efficient estimation and variable selection in models with single-index structure
• Robust variable selection of joint frailty model for panel count data
• Estimation and testing for time-varying quantile single-index models with longitudinal data
• Asymptotics for argmin processes: convexity arguments
• Efficient minimum distance estimator for quantile regression fixed effects panel data
• SCAD penalized rank regression with a diverging number of parameters
• Model selection in high-dimensional quantile regression with seamless \(L_0\) penalty
• Variance function additive partial linear models
• The quantile process under random censoring
• A quantile varying-coefficient regression approach to length-biased data modeling
• Variable selection in quantile regression when the models have autoregressive errors
• A weighted quantile regression for nonlinear models with randomly censored data
• Quantile regression for robust inference on varying coefficient partially nonlinear models
• \(L_{1}\) regression estimate and its bootstrap
• Regularization statistical inferences for partially linear models with high dimensional endogenous covariates
• Inference in functional linear quantile regression
• Weighted local linear CQR for varying-coefficient models with missing covariates
• Focused information criterion and model averaging with generalized rank regression
• A generalized partially linear framework for variance functions
• Varying-coefficient partially functional linear quantile regression models
• Robust adaptive Lasso for variable selection
• Weighted quantile regression with missing covariates using empirical likelihood
• Partially linear estimation using sufficient dimension reduction
• Robust estimation and variable selection in censored partially linear additive models
• Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation
• Weighted composite quantile regression for partially linear varying coefficient models
• Hierarchically penalized quantile regression
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• Quantile inference for nonstationary processes with infinite variance innovations
• On multivariate quantile regression analysis
• Quantile regression and variable selection for partially linear model with randomly truncated data
• Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood
• Improving estimation efficiency in quantile regression with longitudinal data
• Regularization of case-specific parameters for robustness and efficiency
• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Instrumental variable quantile regression: a robust inference approach
• Semiparametric quantile estimation for varying coefficient partially linear measurement errors models
• Variable selection of the quantile varying coefficient regression models
• EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
• LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
• Penalized weighted composite quantile estimators with missing covariates
• Single-index composite quantile regression with heteroscedasticity and general error distributions
• Quantile regression models with factor‐augmented predictors and information criterion
• Generalized bootstrap for estimators of minimizers of convex functions
• Sparse estimation and inference for censored median 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
• Single-index composite quantile regression
• Quantile regression and variable selection for the single-index model
• Robust median estimator in logistic regression
• Quantile regression for single-index-coefficient regression models
• Estimation and variable selection in single-index composite quantile regression
• Extremal quantile regression
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• An empirical likelihood approach to quantile regression with auxiliary information
• Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
• Jackknife model averaging for quantile regressions
• Quantile regression for longitudinal data
• Estimation and test procedures for composite quantile regression with covariates missing at random
• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• Smoothed quantile regression for panel data
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• Estimating structural changes in regression quantiles
• Composite quantile regression for heteroscedastic partially linear varying-coefficient models with missing censoring indicators
• Composite quantile regression and variable selection in single-index coefficient model
• Variable selection via composite quantile regression with dependent errors
• Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization
• Composite quantile regression for massive datasets
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Testing linearity against threshold effects: uniform inference in quantile regression
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Generalised bootstrap in non-regular M-estimation problems

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