Model averaging marginal regression for high dimensional conditional quantile prediction

DOI10.1007/s00362-020-01212-1zbMath1484.62047OpenAlexW3093451667MaRDI QIDQ2062406

Jing Lv, Jingwen Tu, Chaohui Guo, Hu Yang

Publication date: 27 December 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-020-01212-1

zbMATH Keywords

kernel estimationmodel averagingprediction accuracypenalized quantile regressionmarginal regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20)

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