Composite quantile regression for varying-coefficient single-index models

doi:10.1080/03610926.2014.894069

	Composite quantile regression for varying-coefficient single-index models
	Fan, Yan ; Tang, Manlai ; Tian, Maozai
	2016
发表期刊	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
卷号	45 期号:10 页码:3027-3047
摘要	The varying-coefficient single-index model (VCSIM) is a very general and flexible tool for exploring the relationship between a response variable and a set of predictors. Popular special cases include single-index models and varying-coefficient models. In order to estimate the index-coefficient and the non parametric varying-coefficients in the VCSIM, we propose a two-stage composite quantile regression estimation procedure, which integrates the local linear smoothing method and the information of quantile regressions at a number of conditional quantiles of the response variable. We establish the asymptotic properties of the proposed estimators for the index-coefficient and varying-coefficients when the error is heterogeneous. When compared with the existing mean-regression-based estimation method, our simulation results indicate that our proposed method has comparable performance for normal error and is more robust for error with outliers or heavy tail. We illustrate our methodologies with a real example.
关键词	Composite quantile regression Dimension reduction Quantile regression Single-index varying-coefficient model 62G05 62G08
DOI	10.1080/03610926.2014.894069
收录类别	SCI ; EI ; SCOPUS ; SCIE
ISSN	0361-0926
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000374633100016
出版者	TAYLOR & FRANCIS INC
EI入藏号	20161802329410
原始文献类型	Article
EISSN	1532-415X
引用统计	被引频次：6[WOS] [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/1497
专题	统计与数据科学学院
作者单位	1.Shanghai Univ Int Business & Econ, Sch Business Informat, Shaghai, Peoples R China; 2.Hang Seng Management Coll, Dept Math & Stat, Hong Kong, Hong Kong, Peoples R China; 3.Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing, Peoples R China; 4.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou, Gansu, Peoples R China
推荐引用方式 GB/T 7714	Fan, Yan,Tang, Manlai,Tian, Maozai. Composite quantile regression for varying-coefficient single-index models[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2016,45(10):3027-3047.
APA	Fan, Yan,Tang, Manlai,&Tian, Maozai.(2016).Composite quantile regression for varying-coefficient single-index models.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,45(10),3027-3047.
MLA	Fan, Yan,et al."Composite quantile regression for varying-coefficient single-index models".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 45.10(2016):3027-3047.