Quantile regression for single-index-coefficient regression models

Rong Jiang and Wei-Min Qian

Statistics & Probability Letters, 2016, vol. 110, issue C, 305-317

Abstract: This paper is concerned with quantile regression for single-index-coefficient regression models. A practical algorithm and the asymptotic properties of the proposed estimators are established. The performance of the proposed method is investigated through simulation studies and a real data example.

Keywords: Single-index-coefficient regression model; Quantile regression; Adaptive LASSO (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2015.09.022

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