Penalizing function based bandwidth choice in nonparametric quantile regression

Klaus Abberger (University of Konstanz, Germany)

In nonparametric mean regression various methods for bandwidth choice exist. These methods can roughly be divided into plug-in methods and methods based on penalizing functions. This paper uses the approach based on penalizing functions and adapt it to nonparametric quantile regression estimation, where bandwidth choice is still an unsolved problem. Various criteria for bandwitdth choice are defined and compared in some simulation examples.

MoreLess

Year of publication:	[2001]
Authors:	Abberger, Klaus
Publisher:	[Konstanz] : [Zentrum für Finanzen und Ökonometrie, Universität Konstanz]
Subject:	nonparametric quantile regression \| bandwidth choice \| crossvalidation \| penalizing functions \| Regressionsanalyse \| Regression analysis \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Theorie \| Theory

freely available

Full text |

More access options

nbn-resolving.org

Check Google Scholar

In German libraries (KVK)

I need help

Erscheint auch als (Druck-Ausgabe):

Abberger, Klaus *1967-*. Penalizing function based bandwidth choice in nonparametric quantile regression. - Konstanz : CFE, 2001. - 14 S

Persistent link: https://www.econbiz.de/10011545176