Weighted composite quantile regression estimation and variable selection for varying coefficient models with heteroscedasticity

DOI10.1016/j.jkss.2014.05.005zbMath1311.62062OpenAlexW2076347091MaRDI QIDQ2513792

Chaohui Guo, Jing Lv, Hu Yang

Publication date: 29 January 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.05.005

zbMATH Keywords

heteroscedasticityvariable selectionvarying coefficient modelweighted composite quantile regressionoracle propertiesadaptive group LASSO

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35)

Related Items (5)

Estimation of linear composite quantile regression using EM algorithm ⋮ Robust empirical likelihood for partially linear models via weighted composite quantile regression ⋮ Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors ⋮ Weighted local linear CQR for varying-coefficient models with missing covariates ⋮ A lack-of-fit test for quantile regression process models

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