Bootstrapping Composite Quantile Regression

被引：0
|
作者：
Seo, Kangmin [1 ]
Bang, Sungwan [2 ]
Jhun, Myoungshic [1 ]
机构：
[1] Korea Univ, Dept Stat, Seoul 136701, South Korea
[2] Korea Mil Acad, Dept Math, Seoul, South Korea
来源：
KOREAN JOURNAL OF APPLIED STATISTICS | 2012年 / 25卷 / 02期
基金：
新加坡国家研究基金会;
关键词：
Quantile regression; composite quantile regression; bootstrap;
D O I：
10.5351/KJAS.2012.25.2.341
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：
Composite quantile regression model is considered for iid error case. Since the regression coefficients are the same across different quantiles, composite quantile regression can be used to combine the strength across multiple quantile regression models. For the composite quantile regression, bootstrap method is examined for statistical inference including the selection of the number of quantiles and confidence intervals for the regression coefficients. Feasibility of the bootstrap method is demonstrated through a simulation study.
引用
收藏
页码：341 / 350
页数：10
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