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Single-index composite quantile regression for massive data

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  • Jiang, Rong
  • Yu, Keming

Abstract

Composite quantile regression (CQR) is becoming increasingly popular due to its robustness from quantile regression. Recently, the CQR method has been studied extensively with single-index models. However, the numerical inference of CQR methods for single-index models must involve iteration. In this study, we propose a non-iterative CQR (NICQR) estimation algorithm and derive the asymptotic distribution of the proposed estimator. Moreover, we extend the NICQR method to the analysis of massive datasets via a divide-and-conquer strategy. The proposed approach significantly reduces the computing time and the required primary memory. Simulation studies and two real data applications are conducted to illustrate the finite sample performance of the proposed methods.

Suggested Citation

  • Jiang, Rong & Yu, Keming, 2020. "Single-index composite quantile regression for massive data," Journal of Multivariate Analysis, Elsevier, vol. 180(C).
    • Handle: RePEc:eee:jmvana:v:180:y:2020:i:c:s0047259x20302505
    DOI: 10.1016/j.jmva.2020.104669
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    References listed on IDEAS

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