Limiting distributions for L₁ regression estimators under general conditions

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

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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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
• 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
• 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
• Quantile Periodograms
• 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
• Model averaging for semiparametric varying coefficient quantile regression models
• Two step composite quantile regression for single-index models
• Limiting distributions of linear programming estimators
• Weighted composite quantile regression with censoring indicators missing at random
• Estimation of general semi-parametric quantile regression
• Local asymptotics for nonparametric quantile regression with regression splines
• LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES

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