Focused information criterion and model averaging in censored quantile regression

Jiang Du (), Zhongzhan Zhang and Tianfa Xie
Additional contact information
Jiang Du: Beijing University of Technology
Zhongzhan Zhang: Beijing University of Technology
Tianfa Xie: Beijing University of Technology

Metrika: International Journal for Theoretical and Applied Statistics, 2017, vol. 80, issue 5, No 2, 547-570

Abstract: Abstract In this paper, we study model selection and model averaging for quantile regression with randomly right censored response. We consider a semi-parametric censored quantile regression model without distribution assumptions. Under general conditions, a focused information criterion and a frequentist model averaging estimator are proposed, and theoretical properties of the proposed methods are established. The performances of the procedures are illustrated by extensive simulations and the primary biliary cirrhosis data.

Keywords: FIC; Random censoring; Model uncertainty; Quantile regression; 62G05; 62G20 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00184-017-0616-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:metrik:v:80:y:2017:i:5:d:10.1007_s00184-017-0616-1

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/184/PS2

DOI: 10.1007/s00184-017-0616-1

Access Statistics for this article

Metrika: International Journal for Theoretical and Applied Statistics is currently edited by U. Kamps and Norbert Henze

More articles in Metrika: International Journal for Theoretical and Applied Statistics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().