Composite versus model-averaged quantile regression

Bloznelis, D; Claeskens, G; Zhou, J

Claeskens, G (reprint author), Katholieke Univ Leuven, ORStat, Naamsestr 69, B-3000 Leuven, Belgium.; Claeskens, G (reprint author), Katholieke Univ Leuven, Leuven Stat Res Ctr, Naamsestr 69, B-3000 Leuven, Belgium.

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2019; 200 (): 32

Abstract

The composite quantile estimator is a robust and efficient alternative to the least-squares estimator in linear models. However, it is computationally......

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