Search Results - subject:"Conditional quantile"

On the <I>u</I>-th Geometric Conditional Quantile

Cheng, Yebin; Gooijer, Jan G. de - Tinbergen Institute - 2004

type linear representation for the geometric conditional quantile estimator and obtain the convergence rate for the … corresponding remainder term. From this, asymptotic normality on the estimated geometric conditional quantile is derived. Based on …

Persistent link: https://www.econbiz.de/10005137392

On the u-th Geometric Conditional Quantile

Cheng, Yebin; Gooijer, Jan G. de - Tinbergen Instituut - 2004

Persistent link: https://www.econbiz.de/10011255759

On the u-th geometric conditional quantile

Cheng, Yebin; Gooijer, Jan G. de - 2004

Persistent link: https://www.econbiz.de/10011335200

Weak consistency of the Support Vector Machine Quantile Regression approach when covariates are functions

Crambes, Christophe; Gannoun, Ali; Henchiri, Yousri - In: Statistics & Probability Letters 81 (2011) 12, pp. 1847-1858

This paper deals with a nonparametric estimation of conditional quantile regression when the explanatory variable X …

Persistent link: https://www.econbiz.de/10011039868

Asymptotic properties of conditional quantile estimator for censored dependent observations

Liang, Han-Ying; Uña-Álvarez, Jacobo - In: Annals of the Institute of Statistical Mathematics 63 (2011) 2, pp. 267-289

Persistent link: https://www.econbiz.de/10008925569

Set-indexed conditional empirical and quantile processes based on dependent data

Yao, Qiwei; Polonik, Wolfgang - London School of Economics (LSE) - 2002

to derive Bahadur–Kiefer type approximations for a generalized conditional quantile process which, in the case with …

Persistent link: https://www.econbiz.de/10011126373

Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression

White, Halbert; Kim, Tae-Hwan - Department of Economics, University of California-San … - 2002

implicitly that the conditional quantile regression model is correctly specified. When the model is misspecified, confidence … conditional quantile model may be misspecified. In this paper, we allow for possible misspecification of a linear conditional … also propose a quick and simple test for conditional quantile misspecification based on the quantile residuals. …

Persistent link: https://www.econbiz.de/10010536433

Variable data driven bandwidth choice in nonparametric quantile regression

Abberger, Klaus - 2002

The choice of a smoothing parameter or bandwidth is crucial when applying non- parametric regression estimators. In nonparametric mean regression various meth- ods for bandwidth selection exists. But in nonparametric quantile regression band- width choice is still an unsolved problem. In this...

Persistent link: https://www.econbiz.de/10010324080

Variable data driven bandwidth choice in nonparametric quantile regression

Abberger, Klaus - 2002

The choice of a smoothing parameter or bandwidth is crucial when applying nonparametric regression estimators. In nonparametric mean regression various methods for bandwidth selection exists. But in nonparametric quantile regression bandwidth choice is still an unsolved problem. In this paper a...

Persistent link: https://www.econbiz.de/10011544543

The Birnbaum–Saunders autoregressive conditional duration model

Bhatti, Chad R. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2062-2078

the concept of conditional quantile estimation into an ACD model by specifying the time-varying model dynamics in terms of …

Persistent link: https://www.econbiz.de/10010750033