A note on the efficiency of composite quantile regression

DOI10.1080/00949655.2015.1062096OpenAlexW2290073353MaRDI QIDQ5222410FDOQ5222410

Authors: Kaifeng Zhao, Heng Lian 

Publication date: 1 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2015.1062096

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zbMATH Keywords

quantile regressionasymptotic varianceweighted composite quantile regression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Regression Quantiles
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Local Composite Quantile Regression Smoothing: An Efficient and Safe Alternative to Local Polynomial Regression
• Composite quantile regression and the oracle model selection theory
• Oracle model selection for nonlinear models based on weighted composite quantile regression
• A note on L-estimates for linear models

Cited In (18)

• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• General composite quantile regression: Theory and methods
• Robust and efficient estimation with weighted composite quantile regression
• Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking
• Composite quantile regression for massive datasets
• Adaptive composite quantile regressions and their asymptotic relative efficiency
• Optimal subsampling algorithms for composite quantile regression in massive data
• Composite quantile regression for linear errors-in-variables models
• Testing in linear composite quantile regression models
• Composite quantile regression for correlated data
• High-dimensional composite quantile regression: optimal statistical guarantees and fast algorithms
• Multi-round smoothed composite quantile regression for distributed data
• Optimal subsampling for composite quantile regression model in massive data
• Adaptive quantile regressions for massive datasets
• Quantile composite-based path modeling: algorithms, properties and applications
• Composite versus model-averaged quantile regression
• Communication-efficient sparse composite quantile regression for distributed data
• Composite quantile regression and the oracle model selection theory

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