TY - JOUR
T1 - Estimation of general semi-parametric quantile regression
AU - Fan, Yan
AU - ZHU, Lixing
N1 - Funding Information:
The research described here was supported by a Grant from the University Grants Council of Hong Kong, Hong Kong. The authors thank the editor, the associate editor and a referee for their constructive comments and suggestions which led to a significant improvement on the early paper, particularly an improvement on the theoretical results.
PY - 2013/5
Y1 - 2013/5
N2 - Quantile regression introduced by Koenker and Bassett (1978) produces a comprehensive picture of a response variable on predictors. In this paper, we propose a general semi-parametric model of which part of predictors are presented with a single-index, to model the relationship of conditional quantiles of the response on predictors. Special cases are single-index models, partially linear single-index models and varying coefficient single-index models. We propose the qOPG, a quantile regression version of outer-product gradient estimation method (OPG, Xia et al., 2002) to estimate the single-index. Large-sample properties, simulation results and a real-data analysis are provided to examine the performance of the qOPG.
AB - Quantile regression introduced by Koenker and Bassett (1978) produces a comprehensive picture of a response variable on predictors. In this paper, we propose a general semi-parametric model of which part of predictors are presented with a single-index, to model the relationship of conditional quantiles of the response on predictors. Special cases are single-index models, partially linear single-index models and varying coefficient single-index models. We propose the qOPG, a quantile regression version of outer-product gradient estimation method (OPG, Xia et al., 2002) to estimate the single-index. Large-sample properties, simulation results and a real-data analysis are provided to examine the performance of the qOPG.
KW - Eigenvector
KW - Outer-product gradient estimation (OPG)
KW - QOPG
KW - Quantile regression
KW - Single-index model
UR - http://www.scopus.com/inward/record.url?scp=84872897242&partnerID=8YFLogxK
U2 - 10.1016/j.jspi.2012.11.005
DO - 10.1016/j.jspi.2012.11.005
M3 - Article
AN - SCOPUS:84872897242
VL - 143
SP - 896
EP - 910
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
SN - 0378-3758
IS - 5
ER -