Penalized weighted composite quantile regression in the linear regression model with heavy-tailed auto correlated errors

doi:10.1016/j.jkss.2014.03.004

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	Penalized weighted composite quantile regression in the linear regression model with heavy-tailed auto correlated errors
	Jiang, Yunlu 1; Li, Hong 2
刊名	JOURNAL OF THE KOREAN STATISTICAL SOCIETY
	2014-12
卷号	43 期号:4 页码:531-543
关键词	Composite quantile regression Heavy-tailed autoregressive error models Oracle properties
ISSN号	1226-3192
DOI	10.1016/j.jkss.2014.03.004
英文摘要	In this paper, a penalized weighted composite quantile regression estimation procedure is proposed to estimate unknown regression parameters and autoregression coefficients in the linear regression model with heavy-tailed autoregressive errors. Under some conditions, we show that the proposed estimator possesses the oracle properties. In addition, we introduce an iterative algorithm to achieve the proposed optimization problem, and use a data-driven method to choose the tuning parameters. Simulation studies demonstrate that the proposed new estimation method is robust and works much better than the least squares based method when there are outliers in the dataset or the autoregressive error distribution follows heavy-tailed distributions. Moreover, the proposed estimator works comparably to the least squares based estimator when there are no outliers and the error is normal. Finally, we apply the proposed methodology to analyze the electricity demand dataset. (C) 2014 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	KOREAN STATISTICAL SOC
WOS记录号	WOS:000345487800004
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1649]
专题	上海财经大学
通讯作者	Jiang, Yunlu
作者单位	1.Jinan Univ, Dept Stat, Coll Econ, Guangzhou 510632, Guangdong, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Finance, Dept Banking, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Jiang, Yunlu,Li, Hong. Penalized weighted composite quantile regression in the linear regression model with heavy-tailed auto correlated errors[J]. JOURNAL OF THE KOREAN STATISTICAL SOCIETY,2014,43(4):531-543.
APA	Jiang, Yunlu,&Li, Hong.(2014).Penalized weighted composite quantile regression in the linear regression model with heavy-tailed auto correlated errors.JOURNAL OF THE KOREAN STATISTICAL SOCIETY,43(4),531-543.
MLA	Jiang, Yunlu,et al."Penalized weighted composite quantile regression in the linear regression model with heavy-tailed auto correlated errors".JOURNAL OF THE KOREAN STATISTICAL SOCIETY 43.4(2014):531-543.