Efficient quantile regression for heteroscedastic models

DOI10.1080/00949655.2014.967244MaRDI QIDQ5220890zbMATH OpenOpenAlexFDO

Authors Yoonsuh Jung, Yoonkyung Lee, Steven N. MacEachern

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10289/9355

zbMATH Keywords

check loss functionheteroscedasticityquantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

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Cites work

• L-estimatton for linear heteroscedastic models
• A Nonparametric Regression Approach to Syringe Grading for Quality Improvement
• An interior point algorithm for nonlinear quantile regression
• Asymptotic Theory of Least Absolute Error Regression
• Bootstrap Methods for Median Regression Models
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Hedonic housing prices and the demand for clean air
• On the Harrison and Rubinfeld data
• Quantile regression.
• Regression Quantiles
• Regression rank scores and regression quantiles
• Regularization of case-specific parameters for robustness and efficiency

Cited in

(15)

• Quantile regression for robust bank efficiency score estimation
• A new robust inference for predictive quantile regression
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Quantile regression for large-scale data via sparse exponential transform method
• Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
• Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
• Envelope quantile regression
• Improving linear quantile regression for replicated data
• Constrained quantile regression and heteroskedasticity
• Randomized quantile regression estimation for heteroskedastic non parametric model
• Modified check loss for efficient estimation via model selection in quantile regression
• Quantile Methods for Stochastic Frontier Analysis
• Log‐symmetric quantile regression models
• A new parametric quantile regression model based on an Owen distribution
• Conditional mean estimation under asymmetric and heteroscedastic error by linear combination of quantile regressions

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• AS 229

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