Table of Contents

A Quantile Regression Memoir - Gilbert W. Bassett Jr. and Roger Koenker

Resampling Methods - Xuming He

Quantile Regression: Penalized - Ivan Mizera

Bayesian Quantile Regression - Huixia Judy Wang and Yunwen Yang

Computational Methods for Quantile Regression - Roger Koenker

Survival Analysis: A Quantile Perspective - Zhiliang Ying and Tony Sit

Quantile Regression for Survival Analysis - Limin Peng

Survival Analysis with Competing Risks and Semi-competing Risks Data - Ruosha Li and Limin Peng

Instrumental Variable Quantile Regression - Victor Chernozhukov, Christian Hansen, and Kaspar Wuethrich

Local Quantile Treatment Effects - Blaise Melly and Kaspar Wuethrich

Quantile Regression with Measurement Errors and Missing Data - Ying Wei

Multiple-Output Quantile Regression - Marc Hallin and Miroslav Siman

Sample Selection in Quantile Regression: A Survey - Manuel Arellano and Stephane Bonhomme

Nonparametric Quantile Regression for Banach-valued Response - Joydeep Chowdhury and Probal Chaudhuri

High-Dimensional Quantile Regression - Alexandre Belloni, Victor Chernozhukov, and Kengo Kato

Nonconvex Penalized Quantile Regression: A Review of Methods, Theory and Algorithms - Lan Wang

QAR and Quantile Time Series Analysis - Zhijie Xiao

Extremal Quantile Regression -Victor Chernozhukov, Ivan Fernandez-Val, and Tetsuya Kaji

Quantile regression methods for longitudinal data - Antonio F. Galvao and Kengo Kato

Quantile Regression Applications in Finance - Oliver Linton and Zhijie Xiao

Quantile regression for Genetic and Genomic Applications - Laurent Briollais and Gilles Durrieu

Quantile regression applications in ecology and the environmental sciences - Brian S. Cade

About the Author

Roger Koenker, University of Illinois


Victor Chernozhukov, MIT


Xuming He, University of Michigan


Limin Peng, Emory University

Reviews

"Given the substantial impact that Quantile Regression (QR) has had in the statistical literature in general (and particularly in econometrics), a handbook that acknowledges this impact and explores its breadth is especially welcome. This volume provides an excellent coverage of the developments in, and applications of, QR over the past 40 years. A brief historical "memoir" by Bassett and Koenker is followed by 21 chapters contributed by a broad cross-section of scholars, all of whom are experts in QR. These chapters amply illustrate the versatility of QR, and the wide range of variations on its central theme that can be developed to give us a powerful suite of inferential methods…This Handbook is a wonderful resource for graduate students and researchers alike. As has been noted already, the various contributions provide an excellent coverage of the use of QR in the context of a variety of statistical models and types of data. In addition, the book provides illustrations of the application of QR in finance, ecology and environmental sciences, and in genetic and genomic studies. The editors and contributors are to be congratulated on assembling this valuable handbook, which will serve to update and significantly extend our understanding of the richness of QR methods."
—David E. Giles in Statistical Papers, September 2018"Quantile regression was introduced in 1757 but not perfected until Koenker and Bassett made it a modern tool for robust analyses in linear models in 1978. This book is testimony to its continuing vitality and growing relevance in the big data era."
—Stephen M. Stigler, Ernest DeWitt Burton Distinguished Service Professor of Statistics, University of Chicago"Since its invention by Koenker and Bassett, quantile regression has moved from intriguing statistical curiosity to a central empirical tool in the applied econometrician's toolkit. This volume offers a valuable, accessible, and timely summary of the many m