首页 | 本学科首页   官方微博 | 高级检索  
     


Quantile regression via iterative least squares computations
Abstract:We present an estimating framework for quantile regression where the usual L 1-norm objective function is replaced by its smooth parametric approximation. An exact path-following algorithm is derived, leading to the well-known ‘basic’ solutions interpolating exactly a number of observations equal to the number of parameters being estimated. We discuss briefly possible practical implications of the proposed approach, such as early stopping for large data sets, confidence intervals, and additional topics for future research.
Keywords:quantile regression  least squares  smooth approximation
相似文献(共20条):
[1]、Lonnie Magee.Improving survey-weighted least squares regression[J].Journal of the Royal Statistical Society. Series B, Statistical methodology,1998,60(1):115-126.
[2]、Error variance estimation via least squares for small sample nonparametric regression[J].Journal of statistical planning and inference
[3]、Second-order least squares estimation of censored regression models[J].Journal of statistical planning and inference
[4]、Nygård S,Borgan O,Lingjaerde OC,Størvold HL.Partial least squares Cox regression for genome-wide data[J].Lifetime data analysis,2008,14(2):179-195.
[5]、H. D. Brunk.Bayesian least squares estimates of univariate regression functions[J].统计学通讯:理论与方法,2013,42(11):1101-1136.
[6]、John E. Dennis Jr.,Roy E. Welsch.Techniques for nonlinear least squares and robust regression[J].统计学通讯:模拟与计算,2013,42(4):345-359.
[7]、W. J. Kennedy,James E. Gentle.Examining rounding error in least absolute values regression computations[J].统计学通讯:模拟与计算,2013,42(4):415-420.
[8]、A. Phatak,P.M. Reilly,A. Penlidis.The geometry of 2-block partial least squares regression[J].统计学通讯:理论与方法,2013,42(6):1517-1553.
[9]、Neil A. Butler,& Michael C. Denham.The peculiar shrinkage properties of partial least squares regression[J].Journal of the Royal Statistical Society. Series B, Statistical methodology,2000,62(3):585-593.
[10]、Atkinson,A. C.,Cheng,T.-C..Computing least trimmed squares regression with the forward search[J].Statistics and Computing,1999,9(4):251-263.
[11]、L. Pesotchinsky.Robust designs and optimality of least squares for regression problems[J].Journal of statistical planning and inference,1984,9(1):103-117.
[12]、Douglas P. Wiens.Designs for weighted least squares regression, with estimated weights[J].Statistics and Computing,2013,23(3):391-401.
[13]、Rank estimation of regression coefficients using iterated reweighted least squares[J].Journal of Statistical Computation and Simulation
[14]、Arnold J. Stromberg.Consistency of the least median of squares estimator in nonlinear regression[J].统计学通讯:理论与方法,2013,42(8):1971-1984.
[15]、Paul Kabaila.Admissible variable-selection procedures when fitting misspecified regression models by least squares[J].统计学通讯:理论与方法,2013,42(10):2299-2306.
[16]、Q. F. Xu,C. Cai,X. Huang.Quantile regression for large-scale data via sparse exponential transform method[J].Statistics,2019,53(1):26-42.
[17]、Michael A. Martin ,Steven Roberts.An evaluation of bootstrap methods for outlier detection in least squares regression[J].Journal of applied statistics,2006,33(7):703-720.
[18]、Hyonho Chun, Sündüz Kele&#;.Sparse partial least squares regression for simultaneous dimension reduction and variable selection[J].Journal of the Royal Statistical Society. Series B, Statistical methodology,2010,72(1):3-25.
[19]、John Zhang ,Mahmud Ibrahim.A simulation study on SPSS ridge regression and ordinary least squares regression procedures for multicollinearity data[J].Journal of applied statistics,2005,32(6):571-588.
[20]、Kurt Brännäs,Stig Uhlin.Improper use of the ordinary least squares estimator in the switching regression model[J].统计学通讯:理论与方法,2013,42(14):1781-1791.
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号