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http://hdl.handle.net/1942/25780
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DC Field | Value | Language |
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dc.contributor.author | Gijbels, Irène | - |
dc.contributor.author | IBRAHIM, Mohammed Abdulkerim | - |
dc.contributor.author | VERHASSELT, Anneleen | - |
dc.date.accessioned | 2018-03-14T08:39:27Z | - |
dc.date.available | 2018-03-14T08:39:27Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Canadian journal of statistics = Revue canadienne de statistique, 46 (2), p. 246-264 | - |
dc.identifier.issn | 0319-5724 | - |
dc.identifier.uri | http://hdl.handle.net/1942/25780 | - |
dc.description.abstract | In mean regression the characteristic of interest is the conditional mean of the response given the covariates. In quantile regression the aim is to estimate any quantile of the conditional distribution function. For given covariates, the conditional quantile function fully characterizes the entire conditional distribution function, in contrast to the mean which is just one of its characteristic quantities. Regression quantiles substantially out-perform the least-squares estimator for a wide class of non-Gaussian error distributions. In this article we consider quantile varying coefficient models (VCMs) that are an extension of classical quantile linear regression models, in which one allows the coefficients to depend on other variables. We consider VCMs with various structures for the variance of the errors (the variability function) in order to allow for heteroscedasticity. For longitudinal data, the time (T) dependent coefficient functions in the signal and the variability functions are estimated with P-splines (Penalized B-splines). Consistency of the proposed estimators is proved. Further, likelihood-ratio-type tests are considered for comparing the variability functions. The performance of the testing procedure is illustrated on simulated and real data. | - |
dc.description.sponsorship | The authors gratefully acknowledge support from the Interuniversity Attraction Poles Research Network P7/06 of the Belgian State (Belgian Science Policy). I. Gijbels acknowledges support from the KU Leuven Research Council (GOA 12/14 project). A. Verhasselt acknowledges support from the Research Foundation Flanders FWO-grant 151897N. The first and third authors gratefully acknowledge support from the Research Foundation Flanders (FWO-project G.0B26.15N). M. A. Ibrahim and A. Verhasselt acknowledge support from the Special Research Fund (Bijzonder Onderzoeksfonds BOF14NI06) of Hasselt University. The infrastructure of the Flemish Supercomputer Center (Vlaams Supercomputer Centrum), funded by the Hercules Foundation and the Flemish Government-department of Economy, Science & Innovation, was used for the simulations. We would like to thank the editor, an associate editor, and two reviewers for their constructive comments that led to a further improvement of this article. | - |
dc.language.iso | en | - |
dc.rights | Copyright 2017 Statistical Society of Canada | - |
dc.subject.other | Heteroscedasticity; likelihood-ratio test; penalized splines; quantile regression; varying coefficient models | - |
dc.title | Testing the heteroscedastic error structure in quantile varying coefficient models | - |
dc.type | Journal Contribution | - |
dc.identifier.epage | 264 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 246 | - |
dc.identifier.volume | 46 | - |
local.bibliographicCitation.jcat | A1 | - |
dc.description.notes | Verhasselt, A (reprint author), Univ Hasselt, Censtat, I BioStat, Hasselt, Belgium. anneleen.verhasselt@uhasselt.be | - |
local.type.refereed | Refereed | - |
local.type.specified | Article | - |
local.type.programme | VSC | - |
dc.identifier.doi | 10.1002/cjs.11346 | - |
dc.identifier.isi | 000434068100003 | - |
item.fullcitation | Gijbels, Irène; IBRAHIM, Mohammed Abdulkerim & VERHASSELT, Anneleen (2018) Testing the heteroscedastic error structure in quantile varying coefficient models. In: Canadian journal of statistics = Revue canadienne de statistique, 46 (2), p. 246-264. | - |
item.validation | ecoom 2019 | - |
item.fulltext | With Fulltext | - |
item.accessRights | Restricted Access | - |
item.contributor | Gijbels, Irène | - |
item.contributor | IBRAHIM, Mohammed Abdulkerim | - |
item.contributor | VERHASSELT, Anneleen | - |
crisitem.journal.issn | 0319-5724 | - |
crisitem.journal.eissn | 1708-945X | - |
Appears in Collections: | Research publications |
Files in This Item:
File | Description | Size | Format | |
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GijbelsIbrahimVerhasselt rev5.pdf Restricted Access | Peer-reviewed author version | 572.17 kB | Adobe PDF | View/Open Request a copy |
Gijbels_et_al-2018-Canadian_Journal_of_Statistics.pdf Restricted Access | Published version | 1 MB | Adobe PDF | View/Open Request a copy |
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