Adaptive \(L\)-estimation for linear models
From MaRDI portal
Publication:1812610
DOI10.1214/aos/1176347022zbMath0736.62060OpenAlexW2017342120MaRDI QIDQ1812610
Roger W. Koenker, Stephen L. Portnoy
Publication date: 25 June 1992
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347022
Monte Carloregression quantilesasymptotic efficiencyadaptive estimatorconditional distributionslopeinterceptconditional quantile estimatorasymptotically efficient adaptive L-estimatorkernel-density estimationsmall sample performances
Density estimation (62G07) Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)
Related Items
Regression quantiles for unstable autoregressive models, Local structural quantile effects in a model with a nonseparable control variable, Quantile regression, Box-Cox transformation model and the U.S. wage structure, 1963--1987, Conditional value-at-risk: semiparametric estimation and inference, A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs, Local asymptotics for quantile smoothing splines, Estimating the asymptotic covariance matrix for quantile regression models. A Monte Carlo study, GMM quantile regression, EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION, HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH, Statistical inferences based on outliers for gene expression analysis, Direct use of regression quantiles to construct confidence sets in linear models, Finite sample properties of adaptive regression estimators, Renewable composite quantile method and algorithm for nonparametric models with streaming data, Local quantile regression, Generalized predictive information criteria for the analysis of feature events, Efficient estimation for time-varying coefficient longitudinal models, Censored quantile regression processes under dependence and penalization, Asymptotic behavior of regression quantiles in non-stationary, dependent cases, Multiple quantile regression analysis of longitudinal data: heteroscedasticity and efficient estimation, Testing for parameter stability in quantile regression models, Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency, Semiparametric efficiency for partially linear single-index regression models, An adaptive permutation test procedure for several common tests of significance., Permutation test for heterogeneous treatment effects with a nuisance parameter, Unnamed Item, Asymptotic normality of \(L\)-statistics based on \(m(n)\)-decomposable time series, Unnamed Item, RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS, Construction of credible intervals for nonlinear regression models with unknown error distributions, Statistical inference on heteroscedastic models based on regression quantiles, L-estimatton for linear heteroscedastic models, Adaptively weighted kernel regression, Applied regression analysis bibliography update 1988-89
