Regression quantiles and their two-step modifications

Regression quantiles and their two-step modifications based on R-estimation of slope components of regression parameter are asymptotically equivalent and are very close numerically even for small sample sizes; their extreme versions even exactly coincide. Regarding that, we study their relations under finite samples and show under which conditions their values exactly coincide. This inter-relation is also numerically illustrated.

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Year of publication:	2012
Authors:	Jurečková, Jana ; Picek, Jan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 6, p. 1111-1115
Publisher:	Elsevier
Subject:	Regression quantile \| Regression rank scores \| Two-step regression quantile \| Autoregression quantile \| R-estimator

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

Persistent link: https://www.econbiz.de/10011040002