Asymptotics for L1‐estimators of regression parameters under heteroscedasticityY

DOI10.2307/3316107MaRDI QIDQ4944640zbMATH OpenOpenAlexFDO

Authors Keith Knight

Publication date 21 March 2000

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3316107

zbMATH Keywords

bootstrapheteroscedasticityL1-estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

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Cites work

• A "Delta Method" Approach to Bahadur-Kiefer Theorems
• Asymptotic Theory of Least Absolute Error Regression
• Fitting Heteroscedastic Regression Models
• scientific article; zbMATH DE number 3852235 (Why is no real title available?)
• scientific article; zbMATH DE number 854966 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables
• Regression Quantiles
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Some asymptotic theory for the bootstrap
• Statistical inference on heteroscedastic models based on regression quantiles
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors

Cited in

(22)

• Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
• \(L_{1}\) regression estimate and its bootstrap
• M-estimation in linear models under nonstandard conditions.
• Hierarchically penalized quantile regression with multiple responses
• Limiting distributions for \(L_1\) regression estimators under general conditions
• L₁-estimation in linear models with heterogeneous white noise
• On the asymptotic behavior of one-step estimates in heteroscedastic regression models.
• Regularized partially functional quantile regression
• On the second order behaviour of the bootstrap of L₁ regression estimators
• Tractable Bayesian variable selection: beyond normality
• LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
• scientific article; zbMATH DE number 17214 (Why is no real title available?)
• Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization
• SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR
• A resampling method by perturbing the estimating functions for quantile regression with missing data
• EfficientL₁estimation and related inferences in linear regression with unknown form of heteroscedasticity
• Envelope quantile regression
• Hierarchically penalized quantile regression
• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• An Overview of Asymptotic Properties ofL_pRegression Under General Classes of Error Distributions
• Sample heterogeneity and M-estimation
• Iterative weighted LAD estimation with homoskedasticity testing using the Gini concentration index

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