A single-index quantile regression model and its estimation

DOI10.1017/S0266466611000788zbMATH Open1419.62090MaRDI QIDQ2909247FDOQ2909247

Authors: Efang Kong, Yingcun Xia 

Publication date: 30 August 2012

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Generalized linear models (logistic models) (62J12) Statistical methods; economic indices and measures (91B82) Order statistics; empirical distribution functions (62G30)

Cites Work

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Cited In (74)

• Bayesian nonparametric modelling of the link function in the single-index model using a Bernstein–Dirichlet process prior
• Robust estimation and selection for single-index regression model
• Statistical inference of partially linear spatial autoregressive model under constraint conditions
• Nonparametric weighted average quantile derivative
• Advance of the sufficient dimension reduction
• Robust variable selection with exponential squared loss for partially linear spatial autoregressive models
• Nonparametric and Semiparametric Quantile Regression via a New MM Algorithm
• Neural Networks for Partially Linear Quantile Regression
• No-Crossing Single-Index Quantile Regression Curve Estimation
• Quantile regression of dynamic single index varying coefficient models
• New estimation for heteroscedastic single-index measurement error models
• A test of U-type for goodness-of-fit in regression models through martingale difference divergence
• Sufficient dimension reduction for conditional quantiles with alternative types of data
• Estimation and testing of a higher-order partially linear spatial autoregressive model
• Model checking for parametric single-index quantile models
• Estimation and inference procedures for semiparametric distribution models with varying linear-index
• Single-Index-Based CoVaR With Very High-Dimensional Covariates
• Robust dimension reduction using sliced inverse median regression
• Single index quantile regression for heteroscedastic data
• GEE analysis for longitudinal single-index quantile regression
• Single-index Thresholding in Quantile Regression
• Single-index quantile regression with left truncated data
• Extreme partial least-squares
• Quantile regression and variable selection for the single-index model
• Identification and estimation in quantile varying-coefficient models with unknown link function
• Quantile regression for single-index-coefficient regression models
• Partially linear modeling of conditional quantiles using penalized splines
• Local Walsh-average-based estimation and variable selection for single-index models
• Variable selection of higher-order partially linear spatial autoregressive model with a diverging number of parameters
• Sufficient dimension folding for a functional of conditional distribution of matrix- or array-valued objects
• Robust MAVE through nonconvex penalized regression
• Adaptive varying-coefficient linear quantile model: a profiled estimating equations approach
• Variable selection in heteroscedastic single-index quantile regression
• Inference for single-index quantile regression models with profile optimization
• Robust estimation of single index models with responses missing at random
• Martingale-difference-divergence-based tests for goodness-of-fit in quantile models
• Transformed central quantile subspace
• Estimation of value-at-risk using single index quantile regression
• Central quantile subspace
• Quantile index coefficient model with variable selection
• New estimation and inference procedures for a single-index conditional distribution model
• Two step composite quantile regression for single-index models
• Single-Index Quantile Regression Models for Censored Data
• Single functional index quantile regression under general dependence structure
• A relative error estimation approach for multiplicative single index model
• Quantile based dimension reduction in censored regression
• Estimation of general semi-parametric quantile regression
• Uniform Bahadur representation for nonparametric censored quantile regression: a redistribution-of-mass approach
• Comment on: ``Local quantile regression
• Semiparametric efficiency for partially linear single-index regression models
• A new minimum contrast approach for inference in single-index models
• Estimation and testing for time-varying quantile single-index models with longitudinal data
• Time-varying quantile single-index model for multivariate responses
• Estimation and variable selection for quantile partially linear single-index models
• Econometric modeling of risk measures: a selective review of the recent literature
• Robust direction identification and variable selection in high dimensional general single-index models
• Quantile regression and variable selection of partial linear single-index model
• Two-stage estimation and simultaneous confidence band in partially nonlinear additive model
• Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models
• Estimating the conditional single-index error distribution with a partial linear mean regression
• Quantile regression for robust inference on varying coefficient partially nonlinear models
• Single-index modal regression via outer product gradients
• Quantile Martingale Difference Divergence for Dimension Reduction
• Single index quantile regression for censored data
• Global Bahadur representation for nonparametric censored regression quantiles and its applications
• Single-index quantile regression
• Composite quantile regression for varying-coefficient single-index models
• Extreme Quantile Estimation Based on the Tail Single-index Model
• On efficient dimension reduction with respect to a statistical functional of interest
• Quantile regression of partially linear single-index model with missing observations
• A direct approach to inference in nonparametric and semiparametric quantile models
• Penalized profile quasi-maximum likelihood method of partially linear spatial autoregressive model
• Nonlinear dimension reduction for conditional quantiles
• Quantile regression for the single-index coefficient model

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