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Author:

Yue, Lili (Yue, Lili.) | Li, Gaorong (Li, Gaorong.) (Scholars:李高荣) | Lian, Heng (Lian, Heng.)

Indexed by:

SSCI Scopus SCIE

Abstract:

In this paper, we consider the estimation problem of quantile varying-coefficient models when the link function is unspecified, which significantly expands the existing works on varying-coefficient models with unspecified link function focusing only on mean regression. We provide new identification conditions which are weaker than existing ones. Under these identification conditions, we use polynomial splines to estimate both the varying coefficients and the link functions and establish the convergence rate of the estimator. Our simulation studies and a real data application illustrate the finite sample performance of the estimators.

Keyword:

Quantile regression B-splines Asymptotic property Single-index models Check loss minimization

Author Community:

  • [ 1 ] [Yue, Lili]Beijing Univ Technol, Beijing Inst Sci & Engn Comp, Beijing 100124, Peoples R China
  • [ 2 ] [Li, Gaorong]Beijing Univ Technol, Beijing Inst Sci & Engn Comp, Beijing 100124, Peoples R China
  • [ 3 ] [Lian, Heng]City Univ Hong Kong, Dept Math, Kowloon, Hong Kong, Peoples R China

Reprint Author's Address:

  • 李高荣

    [Li, Gaorong]Beijing Univ Technol, Beijing Inst Sci & Engn Comp, Beijing 100124, Peoples R China

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Source :

TEST

ISSN: 1133-0686

Year: 2019

Issue: 4

Volume: 28

Page: 1251-1275

1 . 3 0 0

JCR@2022

ESI Discipline: MATHEMATICS;

ESI HC Threshold:54

Cited Count:

WoS CC Cited Count: 5

SCOPUS Cited Count: 6

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 2

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