Practical Confidence Intervals for Regression Quantiles

By Masha Kocherginsky, Xuming He, Yunming Mu. 2005

208 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/752a4777080e98634bb04b4bddd641a4a9a56c20

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In Statistics and Probability

1. Yufeng Liu
2. Yichao Wu
3. Cheolwoo Park
4. Lina Liao
5. Hosik Choi
6. Ling Zhou
7. Matteo Bottai
8. Marco Geraci

Citations in the corpus

• VARIABLE SELECTION IN QUANTILE REGRESSION (2009, background): “random errors, for example, it includes the common location-scale shift model (Koenker (2005)).”
• Quantile Correlations and Quantile Autoregressive Modeling (2012, unknown): “In the context of quantile regression models, several bootstrap methods have been proposed; see, for example , He and Hu (2002) and Kocherginsky, He, and Mu (2005).”
• Measuring Sovereign Contagion in Europe (2014, unknown): “Furthermore, the panels report the 95% confidence intervals obtained with the Markov Chain Marginal Bootstrap of Kocherginsky et al. (2005).”
• Asymmetric Loss Functions for Forecasting in Criminal Justice Settings (2011, background): “It then fell Koenker and Bassett (1978) and Koenker (2005) to provide a full-blown, operational regression formulation.”
• Linear quantile mixed models (2013, methodology): “Bootstrap represents a very flexible approach and is often used in quantile estimation (Parzen et al. 1994; Buchinsky 1995; He and Hu 2002; Kocherginsky et al. 2005; Bose and Chatterjee 2003; Koenker 2005; Feng et al. 2011; Canay 2011).”
• Penalized expectile regression: an alternative to penalized quantile regression (2018, methodology): “Setting 1: We generate our data from the linear model with non-i.i.d. random errors studied by Kocherginsky et al. (2005) and Wu and Liu (2009), Y = 1 + X1 + X2 + X3 + (1 + X3) , (8) where X2 = X1 + X3 + Z , with both X1 and Z generated from the standard normal distribution and X3 generated from…”
• A simple censored median regression estimator (2006, background): “Koenker and Geling (2001), however, pointed out that the i.”