SFQRA: scaled factor-augmented quantile regression with aggregation in conditional mean forecasting

DOI10.1016/J.JMVA.2024.105405MaRDI QIDQ7006250zbMATH OpenFDO

Authors Lei Shu, Yifan Hao, Yu Chen, Qing Yang

Publication date 31 March 2025

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMVA.2024.105405

zbMATH Keywords

principal component analysislatent factor modelhigh-dimensionrobust forecastingquantile aggregation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; economic indices and measures (91B82)

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Cited in

(1)

• Dynamic panel data quantile regression with network-linked fixed effects

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