Efficient quantile regression for heteroscedastic models
نویسندگان
چکیده
منابع مشابه
Efficient Quantile Regression for Heteroscedastic Models
Quantile regression provides estimates of a range of conditional quantiles. This stands in contrast to traditional regression techniques, which focus on a single conditional mean function. Lee et al. (2012) proposed efficient quantile regression by rounding the sharp corner of the loss. The main modification generally involves an asymmetric l2 adjustment of the loss function around zero. We ext...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2014
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949655.2014.967244