Adaptive quantile regression with precise risk bounds

doi:10.1007/s11425-015-0199-7

	Adaptive quantile regression with precise risk bounds
	Tian, MaoZai; Chan, Ngai Hang
	2017-05
发表期刊	SCIENCE CHINA-MATHEMATICS
卷号	60 期号:5 页码:875-896
摘要	An adaptive local smoothing method for nonparametric conditional quantile regression models is considered in this paper. Theoretical properties of the procedure are examined. The proposed method is fully adaptive in the sense that no prior information about the structure of the model is assumed. The fully adaptive feature not only allows varying bandwidths to accommodate jumps or instantaneous slope changes, but also allows the algorithm to be spatially adaptive. Under general conditions, precise risk bounds for homogeneous and heterogeneous cases of the underlying conditional quantile curves are established. An automatic selection algorithm for locally adaptive bandwidths is also given, which is applicable to higher dimensional cases. Simulation studies and data analysis confirm that the proposed methodology works well.
关键词	adaptive smoothing automatic bandwidths conditional quantile risk bounds robustness
DOI	10.1007/s11425-015-0199-7
收录类别	SCI ; SCOPUS ; SCIE ; CSCD
ISSN	1674-7283
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000400086700007
出版者	SCIENCE PRESS
原始文献类型	Article
来源期刊等级	C1类
EISSN	1869-1862
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/11955
专题	统计与数据科学学院
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730101, Peoples R China; 2.Xinjiang Univ Finance & Econ, Sch Stat & Informat, Urumqi 830012, Peoples R China; 3.Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing 100872, Peoples R China; 4.Chinese Univ Hong Kong, Dept Stat, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Tian, MaoZai,Chan, Ngai Hang. Adaptive quantile regression with precise risk bounds[J]. SCIENCE CHINA-MATHEMATICS,2017,60(5):875-896.
APA	Tian, MaoZai,&Chan, Ngai Hang.(2017).Adaptive quantile regression with precise risk bounds.SCIENCE CHINA-MATHEMATICS,60(5),875-896.
MLA	Tian, MaoZai,et al."Adaptive quantile regression with precise risk bounds".SCIENCE CHINA-MATHEMATICS 60.5(2017):875-896.

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