Weighted quantile regression and oracle model selection.
In this dissertation I suggest a new (regularized) weighted quantile regression estimation approach for nonlinear regression models and double threshold ARCH (DTARCH) models. I allow the number of parameters in the nonlinear regression models to be fixed or diverge. The proposed estimation method is...
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| Format: | Others |
| Language: | English |
| Published: |
2009
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| Online Access: | http://library.cuhk.edu.hk/record=b6074984 http://repository.lib.cuhk.edu.hk/en/item/cuhk-344617 |