کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146550 957517 2010 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Single-index quantile regression
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Single-index quantile regression
چکیده انگلیسی

Nonparametric quantile regression with multivariate covariates is a difficult estimation problem due to the “curse of dimensionality”. To reduce the dimensionality while still retaining the flexibility of a nonparametric model, we propose modeling the conditional quantile by a single-index function g0(xTγ0), where a univariate link function g0(⋅)g0(⋅) is applied to a linear combination of covariates xTγ0, often called the single-index. We introduce a practical algorithm where the unknown link function g0(⋅)g0(⋅) is estimated by local linear quantile regression and the parametric index is estimated through linear quantile regression. Large sample properties of estimators are studied, which facilitate further inference. Both the modeling and estimation approaches are demonstrated by simulation studies and real data applications.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 101, Issue 7, August 2010, Pages 1607–1621
نویسندگان
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