Robust and efficient estimation with weighted composite quantile regression

Jiang, Xuejun1; Li, Jingzhi1; Xia, Tian2; Yan, Wanfeng1,3

2016-09

10.1016/j.physa.2016.03.056

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS   影响因子和分区

0378-4371

1873-2119

In this paper we introduce a weighted composite quantile regression (CQR) estimation approach and study its application in nonlinear models such as exponential models and ARCH-type models. The weighted CQR is augmented by using a data-driven weighting scheme. With the error distribution unspecified, the proposed estimators share robustness from quantile regression and achieve nearly the same efficiency as the oracle maximum likelihood estimator (MLE) for a variety of error distributions including the normal, mixed normal, Student's t, Cauchy distributions, etc. We also suggest an algorithm for the fast implementation of the proposed methodology. Simulations are carried out to compare the performance of different estimators, and the proposed approach is used to analyze the daily S&P 500 Composite index, which verifies the effectiveness and efficiency of our theoretical results. (C) 2016 Elsevier B.V. All rights reserved.

Weighted CQR Oracle MLE Extended interior algorithm Double threshold ARCH models

SCI ; EI

英语

第一 ; 通讯

Shenzhen Sci-Tech Fund[JCYJ20140509143748226]

Physics

Physics, Multidisciplinary

WOS:000376693600039

ELSEVIER SCIENCE BV

20161802317096

Arches ; Efficiency ; Regression analysis

Structural Members and Shapes:408.2 ; Production Engineering:913.1 ; Statistical Methods:922 ; Mathematical Statistics:922.2

PHYSICS

Web of Science

1.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China
2.Guizhou Univ Finance & Econ, Guiyang 550025, Peoples R China
3.Banque Pictet & Cie SA, Route Acacias 60, CH-1211 Geneva 73, Switzerland

Jiang, Xuejun,Li, Jingzhi,Xia, Tian,et al. Robust and efficient estimation with weighted composite quantile regression[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2016,457:413-423.

Jiang, Xuejun,Li, Jingzhi,Xia, Tian,&Yan, Wanfeng.(2016).Robust and efficient estimation with weighted composite quantile regression.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,457,413-423.

Jiang, Xuejun,et al."Robust and efficient estimation with weighted composite quantile regression".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 457(2016):413-423.