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)

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Cited In (only showing first 100 items - show all)

• The moderate deviation principle for minimizers of convex processes
• Simultaneous estimation for non-crossing multiple quantile regression with right censored data
• Adaptively weighted kernel regression
• Bent-cable quantile regression model
• Inference for spatial autoregressive models with infinite variance noises
• Least absolute relative error estimation for functional quadratic multiplicative model
• Joint modeling for mixed-effects quantile regression of longitudinal data with detection limits and covariates measured with error, with application to AIDS studies
• Single-index quantile regression with left truncated data
• Robust estimation for partial functional linear regression models based on FPCA and weighted composite quantile regression
• Optimal subsampling for large-scale quantile regression
• Efficient inverse probability weighting method for quantile regression with nonignorable missing data
• On limit distribution of maximal deviation of empirical distribution density and regression function. I.
• A panel quantile approach to attrition bias in big data: evidence from a randomized experiment
• Causal inference by quantile regression kink designs
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
• Weighted quantile regression and testing for varying-coefficient models with randomly truncated data
• Robust estimation of semiparametric transformation model for panel count data
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Double penalized quantile regression for the linear mixed effects model
• Title not available (Why is that?)
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• SCAD-Penalized Least Absolute Deviation Regression in High-Dimensional Models
• Inference procedures for the \(L_ 1\) regression
• Robust communication-efficient distributed composite quantile regression and variable selection for massive data
• Testing for a unit root in a nonlinear quantile autoregression framework
• Composite quantile estimation in partial functional linear regression model with dependent errors
• Quantile regression for compositional covariates
• Weighted composite quantile regression analysis for nonignorable missing data using nonresponse instrument
• Weighted quantile regression for longitudinal data using empirical likelihood
• Adjusted extreme conditional quantile autoregression with application to risk measurement
• Weighted empirical likelihood for quantile regression with non ignorable missing covariates
• Estimation and inferences for varying coefficient partially nonlinear quantile models with censoring indicators missing at random
• Single-index composite quantile regression for massive data
• Quantile correlation coefficient: a new tail dependence measure
• Online Linear Programming: Dual Convergence, New Algorithms, and Regret Bounds
• Rank-based estimation in varying coefficient partially functional linear regression models
• Pursuit of dynamic structure in quantile additive models with longitudinal data
• Variable selection and weighted composite quantile estimation of regression parameters with left-truncated data
• Robust variable selection in high-dimensional varying coefficient models based on weighted composite quantile regression
• Predictive quantile regressions under persistence and conditional heteroskedasticity
• Group selection via adjusted weighted least absolute deviation regression
• WLAD-LASSO method for robust estimation and variable selection in partially linear models
• Statistical inference for quantiles in the frequency domain
• Robust check loss-based inference of semiparametric models and its application in environmental data
• Block average quantile regression for massive dataset
• Variable selection and parameter estimation via WLAD-SCAD with a diverging number of parameters
• Quantile trace regression via nuclear norm regularization
• Asymptotic properties of penalized spline estimators in concave extended linear models: rates of convergence
• Virtual historical simulation for estimating the conditional VaR of large portfolios
• Functional single-index composite quantile regression
• Semiparametric function-on-function quantile regression model with dynamic single-index interactions
• Adaptive penalized weighted least absolute deviations estimation for the accelerated failure time model
• Asymptotic inference for the constrained quantile regression process
• Optimal subsampling for composite quantile regression in big data
• A note on self-weighted quantile estimation for infinite variance quantile autoregression 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
• THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS
• 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

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