FOCUSSED MODEL SELECTION IN QUANTILE REGRESSION

被引：20

作者：

Behl, Peter ^{[1
]}

Claeskens, Gerda ^{[2
,3
]}

Dette, Holger ^{[1
]}

机构：

[1] Ruhr Univ Bochum, Fak Math, D-44780 Bochum, Germany

[2] Katholieke Univ Leuven, ORSTAT, B-3000 Louvain, Belgium

[3] Katholieke Univ Leuven, Leuven Stat Res Ctr, B-3000 Louvain, Belgium

来源：

STATISTICA SINICA | 2014年 / 24卷 / 02期

关键词：

Quantile regression; model selection focused information criterion; VARIABLE SELECTION; INFORMATION CRITERION; INFERENCE;

D O I：

10.5705/ss.2012.097

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the problem of model selection for quantile regression analysis when a particular purpose of the modeling procedure has to be taken into account. Typical examples include estimation of the area under the curve in pharmacokinetics or estimation of the minimum effective dose in phase II clinical trials. A focused information criterion for quantile regression is developed, analyzed, and investigated by means of a simulation study and data analysis.

引用

页码：601 / 624

页数：24

共 36 条

[1]

Akaike H., 1998, Selected papers of Hirotugu Akaike, P199, DOI DOI 10.1007/978-1-4612-1694-0_15

[2] Focused Information Criterion for Capture-Recapture Models for Closed Populations [J].

Bartolucci, Francesco ;

Lupparelli, Monia .

SCANDINAVIAN JOURNAL OF STATISTICS, 2008, 35 (04) :629-649

[3] Population Pharmacodynamic Model of Bronchodilator Response to Inhaled Albuterol in Children and Adults With Asthma [J].

Blake, Kathryn ;

Madabushi, Rajanikanth ;

Derendorf, Hartmut ;

Lima, John .

CHEST, 2008, 134 (05) :981-989

[4] On variable selection for volatility forecasting: The role of focused selection criteria [J].

Brownlees, Christian T. ;

Gallo, Giampiero M. .

JOURNAL OF FINANCIAL ECONOMETRICS, 2008, 6 (04) :513-539

[5] CHANGES IN THE UNITED-STATES WAGE STRUCTURE 1963-1987 - APPLICATION OF QUANTILE REGRESSION [J].

BUCHINSKY, M .

ECONOMETRICA, 1994, 62 (02) :405-458

[6]

Cade BS, 1999, ECOLOGY, V80, P311, DOI 10.1890/0012-9658(1999)080[0311:EEOLFW]2.0.CO

[7]

[8] Population pharmacokinetic model for daunorubicin and daunorubicinol coadministered with zosuquidar.3HCl (LY335979) [J].

Callies, S ;

de Alwis, DP ;

Mehta, A ;

Burgess, M ;

Aarons, L .

CANCER CHEMOTHERAPY AND PHARMACOLOGY, 2004, 54 (01) :39-48

[9] Quantile and Probability Curves Without Crossing [J].

Chernozhukov, Victor ;

Fernandez-Val, Ivan ;

Galichon, Alfred .

ECONOMETRICA, 2010, 78 (03) :1093-1125

[10] Pharmacokinetics/pharmacodynamics and the stages of drug development: Role of modeling and simulation [J].

Chien, JY ;

Friedrich, S ;

Heathman, MA ;

de Alwis, DP ;

Sinha, V .

AAPS JOURNAL, 2005, 7 (03) :E544-E559

← 1 2 3 4 →