Local quantile regression

Arbeitspapier

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications do not per se require specific functional forms. This motivates a local parametric rather than a global fixed model fitting approach. A nonparametric smoothing estimate of the conditional quantile curve requires to consider a balance between local curvature and variance. In this paper, we analyze a method based on a local model selection technique that provides an adaptive estimate. Theoretical properties on mimicking the oracle choice are offered and applications to stock market and weather analysis are presented.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2011-005

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Mathematical and Quantitative Methods: General ; Semiparametric and Nonparametric Methods: General ; Labor Economics: General ; Wage Level and Structure; Wage Differentials
• Thema: conditional quantiles ; semiparametric and nonparametric methods ; asymmetric Laplace distribution ; exponential risk bounds ; adaptive bandwidth selection ; Regression ; Nichtparametrisches Verfahren ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Härdle, Wolfgang Karl ; Spokoiny, Vladimir ; Wang, Weining
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56710
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ