Quantile regression in varying coefficient models

Journal of Statistical Planning and Inference

Volumn 121, Issue 1, 2004, Pages 113-125

  Honda, Toshio ^a  

^a UNIVERSITY OF TSUKUBA   (Japan)

Author keywords

Asymptotic normality; Functional coefficient models; Local L1 regression; Local linear fitting; Quantile regression; Varying coefficient models

Indexed keywords

EID: 0346392362     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-3758(03)00110-1     Document Type: Article

References (31)

1. Basset G. Koenker R. The asymptotic distribution of the least absolute error distribution J. Amer. Statist. Soc. 73 1978 618-622
2. Cai Z. Two-step likelihood estimation for varying-coefficient models J. Multivariate Anal. 82 2002 189-209
3. Cai Z. Fan J. Li Z. Efficient estimation and inferences for varying-coefficient models J. Amer. Statist. Soc. 95 2000 888-902
4. Cai Z. Fan J. Yao Q. Functional-coefficient regression models for non-linear time series J. Amer. Statist. Soc. 95 2000 941-956
5. Chen R. Tsay R.S. Functional-coefficient autoregressive models J. Amer. Statist. Soc. 88 1993 298-308
6. 1-norm estimates in linear models Sci. China Ser. A 33 1990 1311-1328
7. Chaudhuri P. Nonparametric estimates of regression quantiles and their local Bahadur representation Ann. Statist. 19 1991 760-777
8. Chaudhuri P. Doksum K. Samarov A. On average derivative quantile regression Ann. Statist. 25 1997 715-744
9. Cleveland, W.S., Grosse, E., Shyu, W.M., 1993. Local regression models. In: Chambers, J.M., Hastie, T.J. (Eds.), Statistical Models in Wadsworth/Brooke-Cole. Pacific Grove, CA, pp. 309-376.
10. Doksum K. Koo J.-Y. On spline estimators and prediction intervals in nonparametric regression Comput. Statist. Data Anal. 35 2000 67-82
11. Fan J. Zhang W. Statistical estimation in varying coefficient models Ann. Statist. 27 1999 1491-1518
12. Fan J. Zhang J. Functional linear models for longitudinal data J. Roy. Statist. Soc. Ser. B 62 2000 303-322
13. Hastie T.J. Tibshirani R.J. Generalized Linear Models 1991 Chapman & Hall London
14. Hastie T.J. Tibshirani R.J. Varying-coefficient models J. Roy. Statist. Soc. Ser. B 55 1993 757-796
15. He X. Shao Q.-M. A general Bahadur representation of M-estimators and its applications to linear regression with nonstochastic designs Ann. Statist 24 1996 2608-2630
16. He X. Shi P. Convergence rate of B-spline estimators of nonparametric quantile functions J. Nonparametric Statist. 3 1994 299-308
17. He X. Zhu Z.-Y. Fung W.-K. Estimation in a semiparametric model for longitudinal data with unspecified dependence structure Biometrika 89 2002 579-590
18. Heckman N.E. Spline smoothing in partially linear models J. Roy. Statist. Soc. Ser. B 48 1986 244-248
19. Hendricks W. Koenker R. Hierarchical spline models for conditional quantiles and the demand for electricity J. Amer. Statist. Soc. 87 1992 58-68
20. Honda T. Nonparametric estimation of a conditional quantile for α-mixing processes Ann. Inst. Statist. Math. 52 2000 459-470
21. Honda T. Nonparametric estimation of the conditional median function for long-range dependent processes J. Japan Statist. Soc. 30 2000 185-198
22. Kauermann G. Tutz G. Local likelihood estimation in varying-coefficient models including additive bias correction J. Nonparametric Statist. 12 2000 343-371
23. Koenker R. Basset G. Regression quantiles Econometrica 46 1978 33-50
24. Koenker R. Ng P. Portnoy S. Quantile smoothing splines Biometrika 81 1994 673-680
25. Koul H.L. A weak convergence result useful in robust autoregression J. Statist. Plann. Inference 29 1991 291-308
26. Mammen E. Linton O. Nielsen J. The existence and asymptotic properties of a backfitting projection algorithm under weak conditions Ann. Statist. 27 1999 1443-1490
27. Pollard D. Asymptotics for least absolute deviation regression estimators Econometric Theory 7 1991 186-199
28. Portnoy S. Local asymptotics for quantile smoothing splines Ann. Statist. 25 1997 414-434
29. Speckman P. Kernel smoothing in partial linear models J. Roy. Statist. Soc. Ser. B 50 1988 413-436
30. Welsh A.H. Robust estimation of smooth regression and spread functions and their derivatives Statis. Sinica 6 1996 347-366
31. Zhang W. Lee S.-Y. Variable bandwidth selection in varying coefficient models J. Multivariate Anal. 74 2000 116-134