Yan Fan

Renmin University of China

Room B906

Xianjin Building

Beijing, Beijing 100872

China

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Composite Quantile Regression for the Single-Index Model

SFB 649 Discussion Paper 2013-010
Number of pages: 43 Posted: 05 Jan 2017
Renmin University of China, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Hong Kong Baptist University (HKBU) - Department of Mathematics
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Abstract:

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Quantile Single-index Regression, Minimum Average Contrast Estimation, Co-VaR estimation, Composite quasi-maximum likelihood estimation, Lasso, Model selection