| bibtype |
M -
Monography Chapter
|
| ARLID |
0600155 |
| utime |
20250317092607.9 |
| mtime |
20241102235959.9 |
| DOI |
10.1007/978-3-031-61853-6_12 |
| title
(primary) (eng) |
The Process Induced by Slope Components of α-Regression Quantile |
| specification |
| page_count |
10 s. |
| book_pages |
618 |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0602332 |
| ISBN |
978-3-031-61852-9 |
| title
|
Recent Advances in Econometrics and Statistics |
| page_num |
231-240 |
| publisher |
| place |
Cham |
| name |
Springer |
| year |
2024 |
|
| editor |
| name1 |
Barigozzi |
| name2 |
Matteo |
|
| editor |
| name1 |
Hörmann |
| name2 |
Siegfried |
|
| editor |
| name1 |
Paindaveine |
| name2 |
Davy |
|
|
| keyword |
Regression quantile |
| keyword |
R-estimator |
| keyword |
Brownian Bridge |
| author
(primary) |
| ARLID |
cav_un_auth*0368969 |
| name1 |
Jurečková |
| name2 |
Jana |
| institution |
UTIA-B |
| full_dept (cz) |
Stochastická informatika |
| full_dept (eng) |
Department of Stochastic Informatics |
| department (cz) |
SI |
| department (eng) |
SI |
| country |
CZ |
| share |
100 |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GA22-03636S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0435411 |
|
| abstract
(eng) |
We consider the linear regression model, along with the process induced by its α-regression quantile, 0 <α< 1. While only the intercept component of the α-regression quantile estimates the quantile F^−1(α) of the model errors, the α also affects the slope components, whose dispersion infinitely increases as α → 0, 1, in the same rate as the variance of the sample α-quantile. The process of the slope components of α-regression quantile over α ∈ (0, 1) is asymptotically \nequivalent to the process of R-estimates of the slope parameters in the linear model, generated by the Hájek rank scores. Both processes converge to the vector of independent Brownian bridges under exponentially tailed parent distribution F, after standardization by f (F^−1(α)). |
| RIV |
BB |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2025 |
| result_subspec |
JINE |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0357780 |
| confidential |
S |
| mrcbC91 |
A |
| arlyear |
2024 |
| mrcbU02 |
M |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
WOS |
| mrcbU63 |
cav_un_epca*0602332 Recent Advances in Econometrics and Statistics Springer 2024 Cham 231 240 978-3-031-61852-9 |
| mrcbU67 |
Barigozzi Matteo 340 |
| mrcbU67 |
Hörmann Siegfried 340 |
| mrcbU67 |
Paindaveine Davy 340 |
|