Jackknife Model Averaging for Quantile Regressions
نویسندگان
چکیده
منابع مشابه
Jackknife Model Averaging for Quantile Regressions
In this paper we consider the problem of frequentist model averaging for quantile regression (QR) when all the models under investigation are potentially misspecified and the number of parameters in some or all models is diverging with the sample size To allow for the dependence between the error terms and the regressors in the QR models, we propose a jackknife model averaging (JMA) estima...
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[To be revised.] Quantile and expectile regression are tail oriented conditional regression. They can be transformed as generalized quantile regression. Traditional generalized quantile regression focuses on a single curve. When more random curves are available, we can estimate the single curves jointly by using the information from all subjects instead of estimate it individually. To avoid too...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2449245