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http://dx.doi.org/10.5351/KJAS.2012.25.2.341

Bootstrapping Composite Quantile Regression  

Seo, Kang-Min (Department of Statistics, Korea University)
Bang, Sung-Wan (Department of Mathematics, Korea Military Academy)
Jhun, Myoung-Shic (Department of Statistics, Korea University)
Publication Information
The Korean Journal of Applied Statistics / v.25, no.2, 2012 , pp. 341-350 More about this Journal
Abstract
Composite quantile regression model is considered for iid error case. Since the regression coefficients are the same across different quantiles, composite quantile regression can be used to combine the strength across multiple quantile regression models. For the composite quantile regression, bootstrap method is examined for statistical inference including the selection of the number of quantiles and confidence intervals for the regression coefficients. Feasibility of the bootstrap method is demonstrated through a simulation study.
Keywords
Quantile regression; composite quantile regression; bootstrap;
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