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Journal of Statistical Planning and Inference, ISSN 0378-3758, 03/2020, Volume 205, pp. 46 - 63
Quantile regression is a technique to estimate the conditional quantile. In this paper we propose a localized method for quantile regression, the regularized... 
Reproducing kernel Hilbert space | Error analysis | Quantile regression | Regularization | Learning rate | RATES | CONDITIONAL QUANTILES | STATISTICS & PROBABILITY | OPERATORS
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 08/2010, Volume 101, Issue 7, pp. 1607 - 1621
Nonparametric quantile regression with multivariate covariates is a difficult estimation problem due to the "curse of dimensionality". To reduce the... 
Local polynomial smoothing | Dimension reduction | Nonparametric model | Conditional quantile | Semiparametric model | MODELS | STATISTICS & PROBABILITY | Conditional quantile Dimension reduction Local polynomial smoothing Nonparametric model Semiparametric model | Analysis | Algorithms
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 09/2009, Volume 104, Issue 487, pp. 1117 - 1128
Journal Article
Statistica Sinica, ISSN 1017-0405, 10/2012, Volume 22, Issue 4, pp. 1589 - 1610
The use of quantiles to obtain insights about multivariate data is addressed. It is argued that incisive insights can be obtained by considering directional... 
Tangents | Body mass index | Quantiles | Gaussian distributions | Growth charts | Tomography | Population distributions | General | Surface contours | Quantile regression | Estimation methods | Data depth | quantiles | CONTOURS | CHARACTERIZE | PROBABILITY | growth charts | quantile regression | CONDITIONAL GROWTH CHARTS | CONVERGENCE | STATISTICS & PROBABILITY | HALF-SPACE DEPTH | Statistics - Methodology
Journal Article
The Annals of Statistics, ISSN 0090-5364, 2/2007, Volume 35, Issue 1, pp. 92 - 108
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 01/2014, Volume 109, Issue 505, pp. 230 - 242
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 06/2017, Volume 110, pp. 1 - 18
Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. A new... 
Conditional copula quantile | Stress testing | Conditional distribution | Quantile regression | Vine copula | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | STATISTICS & PROBABILITY | CONSTRUCTIONS | MODEL | SELECTION | Analysis | Models | Credit default swaps | Algorithms
Journal Article
ANNALS OF STATISTICS, ISSN 0090-5364, 06/2019, Volume 47, Issue 3, pp. 1634 - 1662
The increased availability of massive data sets provides a unique opportunity to discover subtle patterns in their distributions, but also imposes overwhelming... 
B-spline estimation | BOOTSTRAP | divide-and-conquer | STATISTICS & PROBABILITY | conditional distribution function | distributed computing | quantile regression process
Journal Article
The Annals of Statistics, ISSN 0090-5364, 6/2016, Volume 44, Issue 3, pp. 1165 - 1192
Journal Article
Journal of Econometrics, ISSN 0304-4076, 07/2014, Volume 181, Issue 1, pp. 44 - 52
Journal Article
Economic Modelling, ISSN 0264-9993, 01/2017, Volume 60, pp. 391 - 401
This paper applies the threshold quantile autoregressive model to study stock return autocorrelations and predictability in the Chinese stock market from 2005... 
Threshold quantile autoregressive model | Chinese stock market | Stock return autocorrelations | Predictability | PRICES | TRADING VOLUME | RISK | CONDITIONAL SKEWNESS | OVERREACTION | OVERCONFIDENCE | SEQUENTIAL INFORMATION ARRIVAL | INVESTORS | EQUILIBRIUM-MODEL | ECONOMICS | VOLATILITY | Stocks | Stock markets | Models
Journal Article
The Annals of Statistics, ISSN 0090-5364, 4/2005, Volume 33, Issue 2, pp. 806 - 839
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 03/1998, Volume 93, Issue 441, pp. 228 - 237
Journal Article
by Lian, H and Zhao, WH and Ma, YY
STATISTICA SINICA, ISSN 1017-0405, 07/2019, Volume 29, Issue 3, pp. 1439 - 1464
Quantile regression estimators at a fixed quantile level rely mainly on a small subset of the observed data. As a result, efforts have been made to construct... 
SEMIPARAMETRIC ESTIMATION | STATISTICS & PROBABILITY | composite quantile regression | Check function | CURVES | optimal estimating equations | CONDITIONAL QUANTILES | generalized method of moment | quantile regression | SELECTION | linear quantile regression | INTERQUANTILE SHRINKAGE | reduced-rank regression
Journal Article
Handbook of Economic Forecasting, ISSN 1574-0706, 2013, Volume 2, pp. 961 - 994
This chapter is concerned with the problem of quantile prediction (or forecasting). There are numerous applications in economics and finance where quantiles... 
Forecast encompassing | Extreme value theory | Conditional quantiles | Nonparametric quantiles | Correct conditional coverage tests | Multivariate quantiles | Quantile regression
Journal Article