2013-02-13Buch DOI: 10.18452/4450
Composite Quantile Regression for the Single-Index Model
Härdle, Wolfgang Karl
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a projection based single index model specifi- cation. For very high dimensional regressors X one faces yet another dimensionality problem and needs to balance precision vs. dimension. Such a balance may be achieved by combining semiparametric ideas with variable selection techniques.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 10, SFB 649 Papers, ISSN:1860-5664