LAUSR

About LAUSR
Donate
Contact Us

Follow us:

You are not signed in:

Sign Up!


   Articles with "composite quantile" as a keyword



Photo by markusspiske from unsplash

Composite quantile regression estimation of linear error-in-variable models using instrumental variables

Sign Up to like & get
recommendations! Published in 2019 at "Metrika"

DOI: 10.1007/s00184-019-00734-5

Abstract: In this paper, we develop a composite quantile regression estimator of linear error-in-variable models based on instrumental variables. The proposed estimator is consistent and asymptotically normal under fairly general assumptions. It neither requires the measurement… read more here.

Keywords: regression; linear error; composite quantile; variable models ... See more keywords
Photo by miracleday from unsplash

Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models

Sign Up to like & get
recommendations! Published in 2019 at "Science China Mathematics"

DOI: 10.1007/s11425-016-9321-x

Abstract: The double-threshold autoregressive conditional heteroscedastic (DTARCH) model is a useful tool to measure and forecast the mean and volatility of an asset return in a financial time series. The DTARCH model can handle situations wherein… read more here.

Keywords: weighted composite; quantile regression; likelihood ratio; dtarch ... See more keywords
Photo by tamiminaser from unsplash

Variable selection and weighted composite quantile estimation of regression parameters with left-truncated data

Sign Up to like & get
recommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"

DOI: 10.1080/03610926.2017.1376089

Abstract: ABSTRACT In this paper, we consider the weighted composite quantile regression for linear model with left-truncated data. The adaptive penalized procedure for variable selection is proposed. The asymptotic normality and oracle property of the resulting… read more here.

Keywords: weighted composite; left truncated; regression; composite quantile ... See more keywords
Photo by miracleday from unsplash

Empirical likelihood weighted composite quantile regression with partially missing covariates

Sign Up to like & get
recommendations! Published in 2017 at "Journal of Nonparametric Statistics"

DOI: 10.1080/10485252.2016.1272692

Abstract: ABSTRACT This paper develops a novel weighted composite quantile regression (CQR) method for estimation of a linear model when some covariates are missing at random and the probability for missingness mechanism can be modelled parametrically.… read more here.

Keywords: weighted composite; quantile regression; regression; probability ... See more keywords
Photo by neonbrand from unsplash

Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition

Sign Up to like & get
recommendations! Published in 2018 at "Journal of Nonparametric Statistics"

DOI: 10.1080/10485252.2017.1418869

Abstract: ABSTRACT We propose a two-step estimation method for nonparametric model with heteroscedasticity to estimate the scale function and the location function simultaneously. The local composite quantile regression (LCQR) is employed in the first step, and… read more here.

Keywords: quantile regression; heteroscedasticity; matrix decomposition; composite quantile ... See more keywords
Photo from wikipedia

Bayesian composite quantile regression for the single-index model

Sign Up to like & get
recommendations! Published in 2023 at "PLOS ONE"

DOI: 10.1371/journal.pone.0285277

Abstract: By using a Gaussian process prior and a location-scale mixture representation of the asymmetric Laplace distribution, we develop a Bayesian analysis for the composite quantile single-index regression model. The posterior distributions for the unknown parameters… read more here.

Keywords: regression; single index; composite quantile; model ... See more keywords