Some Novel Aspects of Quantile Regression: Local Stationarity, Random Forests, and Optimal Transportation

Manon Felix (), Davide La Vecchia (), Hang Liu () and Yiming Ma ()
Additional contact information
Manon Felix: University of Geneva, Research Center for Statistics and Geneva School of Economics and Management
Davide La Vecchia: University of Geneva, Research Center for Statistics and Geneva School of Economics and Management
Hang Liu: University of Science and Technology of China, Faculty of Business in SciTech, School of Management
Yiming Ma: University of Science and Technology of China, Department of Statistics and Finance, School of Management

A chapter in Recent Advances in Econometrics and Statistics, 2024, pp 261-282 from Springer

Abstract: Abstract This paper is written for a Festschrift in honor of Professor Marc Hallin, and it proposes some developments on quantile regression. We connect our investigation to Marc’s scientific production, and we present some theoretical and methodological advances for quantile estimation in nonstandard settings. We split our contributions in two parts. The first part is about conditional quantile estimation for nonstationary time series. The second part is about conditional quantile estimation for the analysis of multivariate independent data in the presence of possibly large-dimensional covariates. Monte Carlo studies illustrate numerically the performance of our methods and compare them to some extant techniques.

Date: 2024
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-61853-6_14

Ordering information: This item can be ordered from
http://www.springer.com/9783031618536

DOI: 10.1007/978-3-031-61853-6_14

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().