Variable selection in heteroscedastic single-index quantile regression

DOI10.1080/03610926.2017.1405271OpenAlexW2772537709MaRDI QIDQ5075471

Michael G. Akritas, Eliana Christou

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 reductionNadaraya-Watson estimatorquantile regressionvariable selectionindex modelSCAD penalty

Mathematics Subject Classification ID

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

Related Items (5)

Estimation of value-at-risk using single index quantile regression ⋮ Single index quantile regression for censored data ⋮ Variable selection in the single-index quantile regression model with high-dimensional covariates ⋮ Central quantile subspace ⋮ Quantile regression of partially linear single-index model with missing observations

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