Single-index composite quantile regression with heteroscedasticity and general error distributions

DOI10.1007/S00362-014-0646-YzbMATH Open1370.62023OpenAlexW2094146877MaRDI QIDQ259677FDOQ259677

Rong Jiang, Zhangong Zhou, Weimin Qian

Publication date: 18 March 2016

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0646-y

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zbMATH Keywords

asymptotic efficiencysingle-index modelcomposite quantile regressioncompsite quantile regression (CQR)weighted CQR (WCQR)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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• Local Polynomial Variance-Function Estimation
• Penalized Spline Estimation for Partially Linear Single-Index Models
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• Estimation and testing for partially linear single-index models
• Limiting distributions for \(L_1\) regression estimators under general conditions
• An Effective Bandwidth Selector for Local Least Squares Regression
• An Adaptive Estimation of Dimension Reduction Space
• Single-index quantile regression
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Local Composite Quantile Regression Smoothing: An Efficient and Safe Alternative to Local Polynomial Regression
• Identifiability of single-index models and additive-index models
• Composite quantile regression and the oracle model selection theory
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• Estimation for a partial-linear single-index model
• Nonconcave penalized inverse regression in single-index models with high dimensional predic\-tors
• Two step composite quantile regression for single-index models
• Estimation of general semi-parametric quantile regression
• Weighted local linear composite quantile estimation for the case of general error distributions
• Testing in linear composite quantile regression models
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• Variable selection and coefficient estimation via composite quantile regression with randomly censored data
• Empirical likelihood for density-weighted average derivatives
• Single-index composite quantile regression
• Estimation for a marginal generalized single-index longitudinal model

Cited In (20)

• Single index quantile regression for heteroscedastic data
• Title not available (Why is that?)
• Higher-order expansions of sample range from general error distribution
• Robust and efficient estimating equations for longitudinal data partial linear models and its applications
• Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition
• Robust estimation of single index models with responses missing at random
• Composite quantile regression for massive datasets
• Robust communication-efficient distributed composite quantile regression and variable selection for massive data
• Two step composite quantile regression for single-index models
• Renewable composite quantile method and algorithm for nonparametric models with streaming data
• Single-index composite quantile regression for massive data
• Joint estimation for single index mean-covariance models with longitudinal data
• High-dimensional local polynomial regression with variable selection and dimension reduction
• Block average quantile regression for massive dataset
• Weighted composite quantile regression for single-index models
• Quantile regression in varying-coefficient models: non-crossing quantile curves and heteroscedasticity
• Weighted composite quantile regression for partially linear varying coefficient models
• Composite smoothed quantile regression
• Regression estimation via information-weighted composite models with different dimensions
• Optimal subsampling for composite quantile regression in big data

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