Search Results - subject:"conditional quantile"

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 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

Uniform Bias Study and Bahadur Representation for Local Polynomial Estimators of the Conditional Quantile Function

Guerre, Emmanuel; Sabbah, Camille - School of Economics and Finance, Queen Mary - 2009

differentiability order of the conditional quantile function. Applications of the results deal with global optimal consistency rates of … the local polynomial quantile estimator, performance of random bandwidths and estimation of the conditional quantile … density function. The latter allows to obtain a simple estimator of the conditional quantile function of the private values in …

Persistent link: https://www.econbiz.de/10004998426

Early Detection Techniques for Market Risk Failure

Olmo, J.; Pouliot, W. - Department of Economics, City University - 2008

The implementation of appropriate statistical techniques for monitoring conditional VaR models, i.e, backtesting, reported by institutions is fundamental to determine their exposure to market risk. Backtesting techniques are important since the severity of the departures of the VaR model from...

Persistent link: https://www.econbiz.de/10011268973

Estimating Some Characteristics of the Conditional Distribution in Nonparametric Functional Models

Ferraty, Frédéric; Laksaci, Ali; Vieu, Philippe - In: Statistical Inference for Stochastic Processes 9 (2006) 1, pp. 47-76

Persistent link: https://www.econbiz.de/10005169127

Variable data driven bandwidth choice in nonparametric quantile regression

Abberger, Klaus - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 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/10005741232

Nonparametric Estimation of a Conditional Quantile for α-Mixing Processes

Honda, Toshio - In: Annals of the Institute of Statistical Mathematics 52 (2000) 3, pp. 459-470

Persistent link: https://www.econbiz.de/10005169235

Convergence rates of monotone conditional quantile estimators

Mukerjee, Hari - In: Statistics & Probability Letters 15 (1992) 5, pp. 417-420

Let {(Xi,Yi): 1 [less-than-or-equals, slant] i[less-than-or-equals, slant]n} be a sample of size n from a bivariate population, 0 p 1, and let [xi]p(x) be the p-quantile of Y1 given X1 = x. Estimation of [xi]p(x) when it is monotone in x for all 0 p 1, has been studied in the literature....

Persistent link: https://www.econbiz.de/10005138194