Quantile Regression under Local Misspecification

doi:10.1007/s10255-020-0973-9

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	Quantile Regression under Local Misspecification
	Duan, Xiao-gang 1; Wang, Qi-hua2
	2020-10-01
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN	0168-9673
卷号	36 期号:4 页码:790-802
摘要	The frequentist model averaging (FMA) and the focus information criterion (FIC) under a local framework have been extensively studied in the likelihood and regression setting since the seminal work of Hjort and Claeskens in 2003. One inconvenience, however, of the existing works is that they usually require the involved criterion function to be twice differentiable which thus prevents a direct application to the case of quantile regression (QR). This as well as some other intrinsic merits of QR motivate us to study the FIC and FMA in a locally misspecified linear QR model. Specifically, we derive in this paper the explicit asymptotic risk expression for a general submodel-based QR estimator of a focus parameter. Then based on this asymptotic result, we develop the FIC and FMA in the current setting. Our theoretical development depends crucially on the convexity of the objective function, which makes possible to establish the asymptotics based on the existing convex stochastic process theory. Simulation studies are presented to illustrate the finite sample performance of the proposed method. The low birth weight data set is analyzed.
关键词	frequentist model averaging focus information criterion local framework quantile regression
DOI	10.1007/s10255-020-0973-9
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[11771049]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000602869700002
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/57899
专题	应用数学研究所
通讯作者	Duan, Xiao-gang
作者单位	1.Beijing Normal Univ, Sch Stat, Beijing 100875, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Duan, Xiao-gang,Wang, Qi-hua. Quantile Regression under Local Misspecification[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2020,36(4):790-802.
APA	Duan, Xiao-gang,&Wang, Qi-hua.(2020).Quantile Regression under Local Misspecification.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,36(4),790-802.
MLA	Duan, Xiao-gang,et al."Quantile Regression under Local Misspecification".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 36.4(2020):790-802.