Quantile regression with an epsilon-insensitive loss in a reproducing kernel Hilbert space
AbstractThis paper proposes a method to estimate the conditional quantile function using an epsilon-insensitive loss in a reproducing kernel Hilbert space. When choosing a smoothing parameter in nonparametric frameworks, it is necessary to evaluate the complexity of the model. In this regard, we provide a simple formula for computing an effective number of parameters when implementing an epsilon-insensitive loss. We also investigate the effects of the epsilon-insensitive loss.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 81 (2011)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Li, Youjuan & Liu, Yufeng & Zhu, Ji, 2007. "Quantile Regression in Reproducing Kernel Hilbert Spaces," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 255-268, March.
- Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
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American Economic Association, vol. 15(4), pages 143-156, Fall.
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- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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