Quasi-maximum likelihood estimation for conditional quantiles
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Cites work
- scientific article; zbMATH DE number 3793774 (Why is no real title available?)
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- scientific article; zbMATH DE number 3266215 (Why is no real title available?)
- scientific article; zbMATH DE number 3336465 (Why is no real title available?)
- A consistent nonparametric test of parametric regression models under conditional quantile restrictions
- A deep cut ellipsoid algorithm for convex programming: Theory and applications
- An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models
- An MCMC approach to classical estimation.
- An interior point algorithm for nonlinear quantile regression
- Asymptotic behavior of regression quantiles in non-stationary, dependent cases
- Bootstrap Methods for Median Regression Models
- Bootstrapping Quantile Regression Estimators
- Censored regression quantiles
- Estimating the asymptotic covariance matrix for quantile regression models. A Monte Carlo study
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- Inference on the Quantile Regression Process
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Pseudo Maximum Likelihood Methods: Theory
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Regression Quantiles
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Simulation and the Asymptotics of Optimization Estimators
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- Trimmed Least Squares Estimation in the Linear Model
Cited in
(44)- Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
- scientific article; zbMATH DE number 2152215 (Why is no real title available?)
- Asset Pricing via the Conditional Quantile Variational Autoencoder
- Discussion of ``Local quantile regression
- Conditional empirical likelihood estimation and inference for quantile regression models
- Bayesian model selection in ordinal quantile regression
- Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
- Bagging binary and quantile predictors for time series
- Specification tests of parametric dynamic conditional quantiles
- Semiparametric efficiency bound in time-series models for conditional quantiles
- Quantile selection in non-linear GMM quantile models
- A residual-based test for autocorrelation in quantile regression models
- The second-order bias of quantile estimators
- Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
- Estimating dynamic copula dependence using intraday data
- On some models for value-at-risk
- Efficient estimation in dynamic conditional quantile models
- Distribution of logit-type link function in a generalized quantilebased asymmetric distributional setting
- Density forecast of financial returns using decomposition and maximum entropy
- Dynamic quantile models
- Quasi-independence models with rational maximum likelihood estimator
- Model selection in quantile regression models
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Moderate deviations for quantile regression processes
- Quantile Methods for Stochastic Frontier Analysis
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Semiparametric modeling of multiple quantiles
- Estimating conditional quantiles with the help of the pinball loss
- Cross-validating fit and predictive accuracy of nonlinear quantile regressions
- Conjugate priors and variable selection for Bayesian quantile regression
- Model selection in binary and Tobit quantile regression using the Gibbs sampler
- Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression
- ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
- Variable selection in quantile regression via Gibbs sampling
- Quasi-likelihood estimation of the single index conditional variance model
- Linear quantile regression based on EM algorithm
- Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
- A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
- Comparing Possibly Misspecified Forecasts
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
- Dealing with Markov-switching parameters in quantile regression models
- Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
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