L_p quantile regression with realized measure

MaRDI QIDQ4996468zbMATH OpenFDO

Authors Li Tang, Yu Chen

Publication date 1 July 2021

zbMATH Keywords

\({L_p}\) quantile regressionasymmetric exponential power distributionrealized measure

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cited in

(2)

• A Gaussian pseudolikelihood approach for quantile regression with repeated measurements
• Realised quantile-based estimation of the integrated variance

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