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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• Asymptotics for penalized spline estimators in quantile regression
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• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
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• A weighted quantile regression for nonlinear models with randomly censored data
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• New efficient estimation and variable selection in models with single-index structure
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• Bootstrap inference for GARCH models by the least absolute deviation estimation
• Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
• Sample quantile analysis for long-memory stochastic volatility models
• Varying-coefficient partially functional linear quantile regression models
• On multivariate quantile regression analysis
• Sample heterogeneity and M-estimation
• Efficient estimation and variable selection for infinite variance autoregressive models
• Model selection in high-dimensional quantile regression with seamless \(L_0\) penalty
• Variance function additive partial linear models

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