A convergent algorithm for quantile regression with smoothing splines

DOI10.1016/0167-9473(94)00018-EzbMATH Open0875.62148WikidataQ127807283 ScholiaQ127807283MaRDI QIDQ672955FDOQ672955

Authors: R. J. Bosch, Yinyu Ye, George G. Woodworth 

Publication date: 28 February 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

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zbMATH Keywords

Quadratic programmingConditional quantileCurve estimationNonparametric regressionSmoothing splines

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of mathematical programming (90C90)

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Cited In (11)

• Simultaneous fitting of Bayesian penalised quantile splines
• Bayesian nonparametric quantile regression using splines
• A composite Bayesian approach for quantile curve fitting with non-crossing constraints
• Quantiles, expectiles and splines
• Constrained smoothing \(B\)-splines for the term structure of interest rates
• Computing confidence intervals from massive data via penalized quantile smoothing splines
• PDE-regularised spatial quantile regression
• Variable selection for non-parametric quantile regression via smoothing spline analysis of variance
• Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
• Multiple smoothing parameters selection in additive regression quantiles
• A fast and efficient implementation of qualitatively constrained quantile smoothing splines

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