Item Type |
Article |
ID |
|
Preview |
Image |
|
Caption |
|
|
Full text |
AA00260492-20180000-0001.pdf
Type |
:application/pdf |
Download
|
Size |
:12.7 MB
|
Last updated |
:Aug 6, 2019 |
Downloads |
: 413 |
Total downloads since Aug 6, 2019 : 413
|
|
Release Date |
|
Title |
Title |
Cp-type criterion for quantile regression
|
Kana |
|
Romanization |
|
|
Other Title |
|
Creator |
Name |
高梨, 耕作
|
Kana |
タカナシ, コウサク
|
Romanization |
Takanashi, Kōsaku
|
Affiliation |
慶應義塾大学経済学部
|
Affiliation (Translated) |
Faculty of Economics, Keio University
|
Role |
|
Link |
|
|
Edition |
|
Place |
|
Publisher |
Name |
Keio Economic Society, Keio University
|
Kana |
|
Romanization |
|
|
Date |
Issued (from:yyyy) |
2018
|
Issued (to:yyyy) |
|
Created (yyyy-mm-dd) |
|
Updated (yyyy-mm-dd) |
|
Captured (yyyy-mm-dd) |
|
|
Physical description |
|
Source Title |
Name |
Keio economic studies
|
Name (Translated) |
|
Volume |
54
|
Issue |
|
Year |
2018
|
Month |
|
Start page |
1
|
End page |
31
|
|
ISSN |
|
ISBN |
|
DOI |
|
URI |
|
JaLCDOI |
|
NII Article ID |
|
Ichushi ID |
|
Other ID |
|
Doctoral dissertation |
Dissertation Number |
|
Date of granted |
|
Degree name |
|
Degree grantor |
|
|
Abstract |
We propose a new Mallows'Cp type criterion for quantile regression (QR) which, unlike AIC or BIC, does not require parametric assumptions on the population and by construction is robust against misspecification. We show that our new Mallows type criterion for QR (QCp) is not only an asymptotically unbiased estimate of the average weighted squared error on the model average fit, but also asymptotically optimal in the sense of achieving the lowest possible weighted squared error in a class of discrete model sets. We also demonstrate that these asymptotic properties of the QCp estimator hold in finite samples with a simulation experiment.
|
|
Table of contents |
|
Keyword |
|
NDC |
|
Note |
|
Language |
|
Type of resource |
|
Genre |
|
Text version |
|
Related DOI |
|
Access conditions |
|
Last modified date |
|
Creation date |
|
Registerd by |
|
History |
|
Index |
|
Related to |
|