Quantile and probability curves without crossing

Arbeitspapier

The most common approach to estimating conditional quantile curves is to fit a curve, typically linear, pointwise for each quantile. Linear functional forms, coupled with pointwise fitting, are used for a number of reasons including parsimony of the resulting approximations and good computational properties. The resulting fits, however, may not respect a logical monotonicity requirement that the quantile curve be increasing as a function of probability. This paper studies the natural monotonization of these empirical curves induced by sampling from the estimated non-monotone model, and then taking the resulting conditional quantile curves that by construction are monotone in the probability.

Show object

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: cemmap working paper ; No. CWP10/07

Classification and Topics

• Classification: Wirtschaft
• Subject: Quantile regression , Monotonicity , Rearrangement , Approximation , Functional Delta Method , Hadamard Differentiability of Rearrangement Operators ; Schätztheorie ; Stichprobenverfahren ; Bootstrap-Verfahren ; Einkommen ; Soldaten ; Theorie ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chernozhukov, Victor ; Fernández-Val, Iván ; Galichon, Alfred
• Event: Veröffentlichung
• (who): Centre for Microdata Methods and Practice (cemmap)
• (where): London
• (when): 2007

Further information

• DOI: doi:10.1920/wp.cem.2007.1007
• Handle: http://hdl.handle.net/10419/79340