Robust and efficient estimation with weighted composite quantile regression

DOI10.1016/j.physa.2016.03.056zbMath1400.62106OpenAlexW2315344928MaRDI QIDQ1619607

Tian Xia, Jingzhi Li, Wanfeng Yan, Xue-Jun Jiang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.03.056

zbMATH Keywords

double threshold ARCH modelsextended interior algorithmoracle MLEweighted CQR

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric robustness (62G35) General nonlinear regression (62J02)

Related Items (5)

Spatial quantile estimation of multivariate threshold time series models ⋮ Local influence analysis for quasi-likelihood nonlinear models with random effects ⋮ Composite quantile regression for massive datasets ⋮ Distributed penalized modal regression for massive data ⋮ Adaptive quantile regressions for massive datasets

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