Arbeitspapier
On the u-th Geometric Conditional Quantile
Motivated by Chaudhuri's work (1996) on unconditional geometric quantiles, we explore the asymptotic properties of sample geometric conditional quantiles, defined through kernel functions, in high dimensional spaces. We establish a Bahadur type linear representation for the geometric conditional quantile estimator and obtain the convergence rate for the corresponding remainder term. From this, asymptotic normality on the estimated geometric conditional quantile is derived. Based on these results we propose confidence ellipsoids for multivariate conditional quantiles. The methodology is illustrated via data analysis and a Monte Carlo study.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 04-072/4
- Classification
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
- Subject
-
Asymptotic normality
Bahadur representation
geometric conditional quantile
confidence ellipsoids
kernel function
Nichtparametrisches Verfahren
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Cheng, Yebin
de Gooijer, Jan G.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cheng, Yebin
- de Gooijer, Jan G.
- Tinbergen Institute
Time of origin
- 2004
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