Single-index composite quantile regression

被引：0
|
作者：
Rong Jiang
Zhan-Gong Zhou
Wei-Min Qian
Wen-Qiong Shao
机构：
[1] Tongji University,Department of Mathematics
[2] Jiaxing University,Department of Statistics
来源：
Journal of the Korean Statistical Society | 2012年 / 41卷
关键词：
primary 60G08; 62G10; secondary 62G20; Asymptotic efficiency; Composite quantile regression; Single-index model;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we extend the composite quantile regression (CQR) method to a single-index model. The unknown link function is estimated by local composite quantile regression and the parametric index is estimated through the linear composite quantile. It is shown that the proposed estimators are consistent and asymptotically normal. The simulation studies and real data applications are conducted to illustrate the finite sample performance of the proposed methods.
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收藏
页码：323 / 332
页数：9
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