Weighted composite quantile regression for partially linear varying coefficient models

Rong Jiang, Wei-Min Qian and Zhan-Gong Zhou

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 16, 3987-4005

Abstract: Partially linear varying coefficient models (PLVCMs) with heteroscedasticity are considered in this article. Based on composite quantile regression, we develop a weighted composite quantile regression (WCQR) to estimate the non parametric varying coefficient functions and the parametric regression coefficients. The WCQR is augmented using a data-driven weighting scheme. Moreover, the asymptotic normality of proposed estimators for both the parametric and non parametric parts are studied explicitly. In addition, by comparing the asymptotic relative efficiency theoretically and numerically, WCQR method all outperforms the CQR method and some other estimate methods. To achieve sparsity with high-dimensional covariates, we develop a variable selection procedure to select significant parametric components for the PLVCM and prove the method possessing the oracle property. Both simulations and data analysis are conducted to illustrate the finite-sample performance of the proposed methods.

Date: 2018
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DOI: 10.1080/03610926.2017.1366522

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