High-dimensional quantile varying-coefficient models with dimension reduction
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00184-021-00814-5.pdf
Reference21 articles.
1. Cai Z, Xiao Z (2012) Semiparametric quantile regression estimation in dynamic models with partially varying coefficients. J Econom 167:413–425
2. Cai Z, Xu X (2008) Nonparametric quantile estimations for dynamic smooth coefficient models. J Am Stat Assoc 103(484):1595–1608
3. Chen R, Tsay RS (1993) Functional-coefficient autoregressive models. J Am Stat Assoc 88(421):298–308
4. Fan J, Ma Y, Dai W (2014) Nonparametric independence screening in sparse ultra-high-dimensional varying coefficient models. J Am Stat Assoc 109(507):1270–1284
5. Fan JQ, Li RZ (2001) Variable selection via nonconcave penalized likelihood and its oracle properties. J Am Stat Assoc 96(456):1348–1360
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