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M-quantile regression using kernel machine technique  

Hwang, Chang-Ha (Department of Statistics, Dankook University)
Publication Information
Journal of the Korean Data and Information Science Society / v.21, no.5, 2010 , pp. 973-981 More about this Journal
Abstract
Quantile regression investigates the quantiles of the conditional distribution of a response variable given a set of covariates. M-quantile regression extends this idea by a "quantile-like" generalization of regression based on influence functions. In this paper we propose a new method of estimating M-quantile regression functions, which uses kernel machine technique. Simulation studies are presented that show the finite sample properties of the proposed M-quantile regression.
Keywords
Expectile; iteratively reweighted least squares procedure; kernel machine; M-quantile; quantile;
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Times Cited By KSCI : 5  (Citation Analysis)
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