Arbeitspapier
Quantile and probability curves without crossing
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP10/07
- Klassifikation
-
Wirtschaft
- Thema
-
Quantile regression , Monotonicity , Rearrangement , Approximation , Functional Delta Method , Hadamard Differentiability of Rearrangement Operators
Schätztheorie
Stichprobenverfahren
Bootstrap-Verfahren
Einkommen
Soldaten
Theorie
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chernozhukov, Victor
Fernández-Val, Iván
Galichon, Alfred
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2007
- DOI
-
doi:10.1920/wp.cem.2007.1007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chernozhukov, Victor
- Fernández-Val, Iván
- Galichon, Alfred
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2007
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