Composite Quantile Regression for the Single-Index Model
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- Yazhao Lv & Riquan Zhang & Weihua Zhao & Jicai Liu, 2015. "Quantile regression and variable selection of partial linear single-index model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(2), pages 375-409, April.
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More about this item
KeywordsQuantile Single-index Regression; Minimum Average Contrast Estimation; Co- VaR estimation; Composite quasi-maximum likelihood estimation; Lasso; Model selection;
- C00 - Mathematical and Quantitative Methods - - General - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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