Nonparametric quantile estimations for dynamic smooth coefficient models

DOI10.1198/016214508000000977zbMATH Open1286.62029OpenAlexW3124920280MaRDI QIDQ5414031FDOQ5414031

Zongwu Cai, Xiaoping Xu

Publication date: 2 May 2014

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://research.soe.xmu.edu.cn/repec/upload/20061220212487055475115776.pdf

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zbMATH Keywords

covariance estimationnonlinear time seriesquantile regressionbandwidth selectionvalue-at-riskvarying coefficientsboundary effectkernel smoothing method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (82)

• Empirical mode decomposition combined with local linear quantile regression for automatic boundary correction
• Nonparametric inference on smoothed quantile regression process
• GEE analysis for longitudinal single-index quantile regression
• A new robust inference for predictive quantile regression
• Nonparametric estimation of conditional VaR and expected shortfall
• Hypothesis testing of varying coefficients for regional quantiles
• Identification and estimation in quantile varying-coefficient models with unknown link function
• Principal single-index varying-coefficient models for dimension reduction in quantile regression
• Efficient estimation in the partially linear quantile regression model for longitudinal data
• Smoothed empirical likelihood for quantile regression models with response data missing at random
• Variable selection of higher-order partially linear spatial autoregressive model with a diverging number of parameters
• Estimating structural changes in regression quantiles
• Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
• Composite quantile regression and variable selection in single-index coefficient model
• Quantile regression in partially linear varying coefficient models
• Local quantile regression
• Quantile regression for varying coefficient spatial error models
• Quantile-adaptive variable screening in ultra-high dimensional varying coefficient models
• Quantile index coefficient model with variable selection
• Model averaging for semiparametric varying coefficient quantile regression models
• Two step composite quantile regression for single-index models
• Title not available (Why is that?)
• Variable selection of varying coefficient models in quantile regression
• Quantile regression for dynamic partially linear varying coefficient time series models
• Quantile regression methods with varying-coefficient models for censored data
• Weighted quantile regression in varying-coefficient model with longitudinal data
• Local asymptotics for nonparametric quantile regression with regression splines
• Support vector quantile regression with varying coefficients
• Discussion of ``Local quantile regression
• A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction
• Estimation and variable selection for quantile partially linear single-index models
• Econometric modeling of risk measures: a selective review of the recent literature
• Function-on-scalar quantile regression with application to mass spectrometry proteomics data
• A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
• The \(k\)th power expectile regression
• Asymptotic normality for \(L_{1}\)-norm kernel estimator of conditional median under association dependence
• Efficient estimation of an additive quantile regression model
• Adaptive local linear quantile regression
• Two-stage estimation and simultaneous confidence band in partially nonlinear additive model
• High-dimensional quantile varying-coefficient models with dimension reduction
• Application of empirical mode decomposition with local linear quantile regression in financial time series forecasting
• Nonparametric estimation of time varying correlation coefficient
• Efficient estimation for time-varying coefficient longitudinal models
• A quantile varying-coefficient regression approach to length-biased data modeling
• Penalized kernel quantile regression for varying coefficient models
• Optimal smoothing in nonparametric conditional quantile derivative function estimation
• Nonparametric homogeneity pursuit in functional-coefficient models
• Quantile regression for right-censored and length-biased data
• Comment on: ``Local quantile regression
• Linear quantile regression models for longitudinal experiments: an overview
• Quantile regression and variable selection of single-index coefficient model
• On the use of \(L\)-functionals in regression models
• High-Dimensional Spatial Quantile Function-on-Scalar Regression
• Statistical inference of locally stationary functional coefficient models
• Variable selection in high-dimensional quantile varying coefficient models
• Semiparametric quantile regression with random censoring
• Bayesian inference for additive mixed quantile regression models
• Robust and sparse learning of varying coefficient models with high-dimensional features
• Empirical likelihood for quantile regression models with response data missing at random
• Improved local quantile regression
• Penalized profile quasi-maximum likelihood method of partially linear spatial autoregressive model
• Efficient estimation in varying coefficient regression models
• Simultaneous variable selection and structural identification for time‐varying coefficient models
• Nonparametric modal regression with mixed variables and application to analyze the GDP data
• Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
• Hypothesis testing for varying coefficient models in tail index regression
• Extreme quantile regression for tail single-index varying-coefficient models
• Statistical inference of partially linear spatial autoregressive model under constraint conditions
• An Extensive Comparison of Some Well‐Established Value at Risk Methods
• Robust nonparametric regression: a review
• Title not available (Why is that?)
• Nonparametric Inference for Time-Varying Coefficient Quantile Regression
• Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
• Spatially modeling the effects of meteorological drivers of \(PM_{2.5}\) in the eastern United States via a local linear penalized quantile regression estimator
• Pinball boosting of regression quantiles
• The \(k\)th power expectile estimation and testing
• A varying coefficient approach to estimating hedonic housing price functions and their quantiles
• Estimation of non-smooth non-parametric estimating equations models with dependent data
• Estimation and testing of a higher-order partially linear spatial autoregressive model
• Focused Information Criterion and Model Averaging in Quantile Regression
• Estimation in quantile regression models with jump discontinuities
• Measuring Granger Causality in Quantiles

Uses Software

• FinTS

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