Variable selection in heteroscedastic single-index quantile regression

DOI10.1080/03610926.2017.1405271MaRDI QIDQ5075471zbMATH OpenOpenAlexFDO

Authors Eliana Christou, Michael G. Akritas

Publication date 16 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2017.1405271

zbMATH Keywords

dimension reductionindex modelNadaraya-Watson estimatorquantile regressionSCAD penaltyvariable selection

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• Quantile regression and variable selection for the single-index model
• Variable selection of single-index quantile regression
• Single index quantile regression for heteroscedastic data
• Estimation and variable selection in single-index composite quantile regression
• Quantile regression and variable selection for single-index varying-coefficient models

Cites work

• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• A single-index quantile regression model and its estimation
• Adaptive penalized quantile regression for high dimensional data
• Additive models for quantile regression: model selection and confidence bands
• Dimension reduction in regressions through cumulative slicing estimation
• Estimating Optimal Transformations for Multiple Regression and Correlation
• GACV for quantile smoothing splines
• Hedonic housing prices and the demand for clean air
• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Inference for single-index quantile regression models with profile optimization
• Local Linear Quantile Regression
• Quantile regression.
• Regression Quantiles
• Rodeo: Sparse, greedy nonparametric regression
• Selection of variables and dimension reduction in high-dimensional non-parametric regression
• Single index quantile regression for heteroscedastic data
• Single-index quantile regression
• Sliced Inverse Regression for Dimension Reduction
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function
• Variable selection for partially linear models with measurement errors
• Variable selection in quantile regression
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(11)

• Single index quantile regression for censored data
• Central quantile subspace
• Simultaneous variable selection and parametric estimation for quantile regression
• Non-iterative Estimation and Variable Selection in the Single-index Quantile Regression Model
• Variable selection of single-index quantile regression
• Quantile regression of partially linear single-index model with missing observations
• Estimation of value-at-risk using single index quantile regression
• Quantile regression and variable selection for the single-index model
• Simultaneous variable selection for heteroscedastic regression models
• Variable selection in the single-index quantile regression model with high-dimensional covariates
• Single index quantile regression for heteroscedastic data

This page was built for publication: Variable selection in heteroscedastic single-index quantile regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5075471)