A two-stage procedure to pool information across quantile levels in linear quantile regression

DOI10.1080/00949655.2018.1490419OpenAlexW2810518083WikidataQ129620689 ScholiaQ129620689MaRDI QIDQ4960727

Anthony Y. C. Kuk

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1490419

zbMATH Keywords

smoothingquantile regressioncross-validationbandwidth inflation factorpooling of information

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• quantreg
• np

Cites Work

• Shrinkage estimation of varying covariate effects based on quantile regression
• Composite quantile regression and the oracle model selection theory
• Interquantile shrinkage and variable selection in quantile regression
• Estimation of Extreme Conditional Quantiles Through Power Transformation
• Optimally combined estimation for tail quantile regression
• Regression Quantiles
• Estimation of High Conditional Quantiles for Heavy-Tailed Distributions

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