Composite Quantile Regression for the Single-Index Model

Abstract

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a projection based single index model specifi- cation. For very high dimensional regressors X one faces yet another dimensionality problem and needs to balance precision vs. dimension. Such a balance may be achieved by combining semiparametric ideas with variable selection techniques.