Sequential quantile regression for stream data by least squares

DOI10.1016/J.JECONOM.2024.105791MaRDI QIDQ6969747zbMATH OpenFDO

Authors Ye Fan, Nan Lin

Publication date 19 June 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105791

zbMATH Keywords

Bayesian inferencequantile regressionleast squaresstream datasequential algorithm

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 5562045 (Why is no real title available?)
• scientific article; zbMATH DE number 7306878 (Why is no real title available?)
• A New Approach to Censored Quantile Regression Estimation
• A Note on Distributed Quantile Regression by Pilot Sampling and One-Step Updating
• A Three-Parameter Asymmetric Laplace Distribution and Its Extension
• ADMM for Penalized Quantile Regression in Big Data
• Bayesian analysis of a Tobit quantile regression model
• Bayesian quantile regression
• Bayesian regularized quantile regression
• Communication-efficient algorithms for statistical optimization
• Composite quantile regression and the oracle model selection theory
• Distributed inference for quantile regression processes
• Gibbs sampling methods for Bayesian quantile regression
• High-Dimensional Quantile Regression: Convolution Smoothing and Concave Regularization
• High-dimensional composite quantile regression: optimal statistical guarantees and fast algorithms
• Inference for extremal conditional quantile models, with an application to market and birthweight risks
• Instrumental quantile regression inference for structural and treatment effect models
• Model selection in binary and Tobit quantile regression using the Gibbs sampler
• Multivariate online regression analysis with heterogeneous streaming data
• On evaluating stream learning algorithms
• Online Learning as Stochastic Approximation of Regularization Paths: Optimality and Almost-Sure Convergence
• Optimal subsampling for large-scale quantile regression
• Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood
• Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
• Quantile regression for large-scale applications
• Quantile regression in big data: a divide and conquer based strategy
• Quantile regression under memory constraint
• Regression Quantiles
• Renewable estimation and incremental inference in generalized linear models with streaming data sets
• Residual projection for quantile regression in vertically partitioned big data
• Scalable estimation and inference for censored quantile regression process
• Sequential Learning of Regression Models by Penalized Estimation
• Smoothed quantile regression with large-scale inference
• Stochastic streams: sample complexity vs. space complexity
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• Unconditional Quantile Regressions

Cited in

(1)

• An online updating approach for estimating and testing mediation effects with big data streams

This page was built for publication: Sequential quantile regression for stream data by least squares

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6969747)