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Document Type

Journal Article

Department/Unit

Department of Mathematics

Title

Estimation of general semi-parametric quantile regression

Language

English

Abstract

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. © 2012 Elsevier B.V.

Keywords

Eigenvector, Outer-product gradient estimation (OPG), QOPG, Quantile regression, Single-index model

Publication Date

2013

Source Publication Title

Journal of Statistical Planning and Inference

Volume

143

Issue

5

Start Page

896

End Page

910

Publisher

Elsevier

ISSN (print)

03783758

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