Quality of Fit Measures in the Framework of Quantile Regression

DOI10.1111/j.1467-9469.2012.00792.xzbMath1259.62022MaRDI QIDQ4911968

Hohsuk Noh, Ingrid Van Keilegom, Anouar El Ghouch

Publication date: 20 March 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/ISBADP2011-25_quality_of_fit_measures_in_the_fit_framework.pdf

zbMATH Keywords

nonparametric regression; local polynomial estimation; coefficient of determination; inadequacy index; lack-of-fit measure

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

65C05: Monte Carlo methods

Related Items

Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model, Evaluation of Portfolio Returns in Fama-French Model Using Quantile Regression Under Asymmetric Laplace Distribution, Quality of fit measurement in regression quantiles: an elemental set method approach, A nonparametric measure of heteroskedasticity, Assessing model adequacy in possibly misspecified quantile regression

Cites Work

• Unnamed Item
• Coefficients of determination for least absolute deviation analysis
• Optimal bandwidth choice for density-weighted averages
• On average derivative quantile regression
• Nonparametric estimation of global functionals and a measure of the explanatory power of covariates in regression
• Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data
• Measuring the Discrepancy of a Parametric Model via Local Polynomial Smoothing
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Second Order Approximation in the Partially Linear Regression Model
• UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
• On Bahadur's Representation of Sample Quantiles