Regression Rank Scores and Regression Quantiles
Gutenbrunner, C. ; Jureckova, J.
Ann. Statist., Tome 20 (1992) no. 1, p. 305-330 / Harvested from Project Euclid
We show that regression quantiles, which could be computed as solutions of a linear programming problem, and the solutions of the corresponding dual problem, which we call the regression rank-scores, generalize the duality of order statistics and of ranks from the location to the linear model. Noting this fact, we study the regression quantile and regression rank-score processes in the heteroscedastic linear regression model, obtaining some new estimators and interesting comparisons with existing estimators.
Publié le : 1992-03-14
Classification:  Regression quantile,  regression rank-score,  trimmed least-squares estimator,  $L$-statistic,  linear rank statistic,  62G05,  62J05
@article{1176348524,
     author = {Gutenbrunner, C. and Jureckova, J.},
     title = {Regression Rank Scores and Regression Quantiles},
     journal = {Ann. Statist.},
     volume = {20},
     number = {1},
     year = {1992},
     pages = { 305-330},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348524}
}
Gutenbrunner, C.; Jureckova, J. Regression Rank Scores and Regression Quantiles. Ann. Statist., Tome 20 (1992) no. 1, pp.  305-330. http://gdmltest.u-ga.fr/item/1176348524/