REGRESSION RANK SCORES AND REGRESSION QUANTILES

被引：146

作者：

GUTENBRUNNER, C ^{[1
]}

JURECKOVA, J ^{[1
]}

机构：

[1] CHARLES UNIV, DEPT PROBABIL & STAT, CS-18600 PRAGUE 8, CZECHOSLOVAKIA

来源：

ANNALS OF STATISTICS | 1992年 / 20卷 / 01期

关键词：

REGRESSION QUANTILE; REGRESSION RANK-SCORE; TRIMMED LEAST-SQUARES ESTIMATOR; L-STATISTIC; LINEAR RANK STATISTIC;

D O I：

10.1214/aos/1176348524

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 show that regression quantiles, which could be computed as solutions of a linear programming problem, and the solutions of the corresponding dual problem, which we call the regression rank-scores, generalize the duality of order statistics and of ranks from the location to the linear model. Noting this fact, we study the regression quantile and regression rank-score processes in the heteroscedastic linear regression model, obtaining some new estimators and interesting comparisons with existing estimators.

引用

页码：305 / 330

页数：26

共 48 条

[31] Minimum risk equivariant estimator in linear regression model [J].

Jureckova, Jana ;

Picek, Jan .

STATISTICS & RISK MODELING, 2009, 27 (01) :37-54

[32] ANALYSIS OF DEPENDENTLY CENSORED DATA BASED ON QUANTILE REGRESSION [J].

Ji, Shuang ;

Peng, Limin ;

Li, Ruosha ;

Lynn, Michael J. .

STATISTICA SINICA, 2014, 24 (03) :1411-1432

[33] Quantile regression methods for censored gap time data [J].

Cheng, Jung-Yu ;

Tzeng, Shinn-Jia .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (17) :5154-5165

[34] Local linear quantile regression with truncated and dependent data [J].

Wang, Jiang-Feng ;

Ma, Wei-Min ;

Fan, Guo-Liang ;

Wen, Li-Min .

STATISTICS & PROBABILITY LETTERS, 2015, 96 :232-240

[35] Quantile-Regression Inference With Adaptive Control of Size [J].

Escanciano, J. C. ;

Goh, S. C. .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2019, 114 (527) :1382-1393

[36] Self-consistent estimation of censored quantile regression [J].

Peng, Limin .

JOURNAL OF MULTIVARIATE ANALYSIS, 2012, 105 (01) :368-379

[37] Fast Nonparametric Quantile Regression With Arbitrary Smoothing Methods [J].

Oh, Hee-Seok ;

Lee, Thomas C. M. ;

Nychka, Douglas W. .

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 2011, 20 (02) :510-526

[38] Trimmed least squares estimator as best trimmed linear conditional estimator for linear regression model [J].

Chen, LA ;

Thompson, P .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1998, 27 (07) :1835-1849

[39] Cure Rate Quantile Regression for Censored Data With a Survival Fraction [J].

Wu, Yuanshan ;

Yin, Guosheng .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2013, 108 (504) :1517-1531

[40] Smoothed and Corrected Score Approach to Censored Quantile Regression With Measurement Errors [J].

Wu, Yuanshan ;

Ma, Yanyuan ;

Yin, Guosheng .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2015, 110 (512) :1670-1683

← 1 2 3 4 5 →