Asymptotic properties of a conditional quantile estimator with randomly truncated data

Let be a response variable that is subject to left-truncation by a variable . We consider the problem of estimating its conditional quantile function given a vector of covariates . We derive almost sure (a.s.) consistency and asymptotic normality results for a kernel estimate of the conditional quantile function. Simulations are drawn to illustrate the results for finite samples.

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Year of publication:	2009
Authors:	Lemdani, Mohamed ; Ould-Saïd, Elias ; Poulin, Nicolas
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 3, p. 546-559
Publisher:	Elsevier
Keywords:	62G05 62G20 Asymptotic normality Consistency Kernel Quantile function Truncated data

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160374