Smoothed empirical likelihood confidence intervals for quantile regression parameters with auxiliary information

被引：10

作者：

Lv, Xiaofeng ^{[1
]}

Li, Rui ^{[1
]}

机构：

[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China

来源：

STATISTICAL METHODOLOGY | 2013年 / 15卷

基金：

中国国家自然科学基金;

关键词：

Smoothed empirical likelihood; Confidence intervals; Quantile regression; Auxiliary information; BOOTSTRAP; MODELS; TESTS;

D O I：

10.1016/j.stamet.2013.04.002

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper develops a smoothed empirical likelihood (SEL)-based method to construct confidence intervals for quantile regression parameters with auxiliary information. First, we define the SEL ratio and show that it follows a Chi-square distribution. We then construct confidence intervals according to this ratio. Finally, Monte Carlo experiments are employed to evaluate the proposed method. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：46 / 54

页数：9

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