Fan, Yan; Härdle, Wolfgang; Wang, Weining; Zhu, Lixing - 2013
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it … regression, a dimensionality problem. We propose a projection based single index model specification. For very high dimensional … achieved by combining semiparametric ideas with variable selection techniques. -- quantile single-index regression ; minimum …