High-dimensional latent panel quantile regression with an application to asset pricing
From MaRDI portal
Publication:6046304
DOI10.1214/22-aos2223arXiv1912.02151OpenAlexW3122732195MaRDI QIDQ6046304
Oscar-Hernan Madrid-Padilla, Alexandre Belloni, Zi Xuan Wang, Mingli Chen
Publication date: 10 May 2023
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.02151
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- A lava attack on the recovery of sums of dense and sparse signals
- Smoothed quantile regression for panel data
- Statistical analysis of factor models of high dimension
- On the prediction performance of the Lasso
- Asymptotics for panel quantile regression models with individual effects
- Estimation of high-dimensional low-rank matrices
- Estimation of (near) low-rank matrices with noise and high-dimensional scaling
- Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
- Robust penalized quantile regression estimation for panel data
- Quantile regression for dynamic panel data with fixed effects
- Globally adaptive quantile regression with ultra-high dimensional data
- Penalized quantile regression for dynamic panel data
- Rates of convergence for empirical processes of stationary mixing sequences
- Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics
- A quantile correlated random coefficients panel data model
- Quantile regression for longitudinal data
- Weak convergence and empirical processes. With applications to statistics
- Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
- Robust low-rank matrix estimation
- Estimating latent asset-pricing factors
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Matrix estimation by universal singular value thresholding
- Simultaneous analysis of Lasso and Dantzig selector
- On the computational complexity of MCMC-based estimators in large samples
- \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
- Principal components estimation and identification of static factors
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Exact matrix completion via convex optimization
- Estimation and inference in semiparametric quantile factor models
- A Singular Value Thresholding Algorithm for Matrix Completion
- Quantile Maximization in Decision Theory*
- Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Goodness of Fit and Related Inference Processes for Quantile Regression
- Quantile Selection Models With an Application to Understanding Changes in Wage Inequality
- Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
- Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
- Dynamic Quantile Models of Rational Behavior
- Risk bounds for quantile trend filtering
- Conditional quantile screening in ultrahigh-dimensional heterogeneous data
- A useful variant of the Davis–Kahan theorem for statisticians
- Tight Oracle Inequalities for Low-Rank Matrix Recovery From a Minimal Number of Noisy Random Measurements
- Panel Data Models With Interactive Fixed Effects
- Robust reduced-rank regression
- Common risk factors in the returns on stocks and bonds
- Quantile Factor Models
- Matrix Completion Methods for Causal Panel Data Models
This page was built for publication: High-dimensional latent panel quantile regression with an application to asset pricing
