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2008-04-03Buch DOI: 10.18452/4119
The Stochastic Fluctuation of the Quantile Regression Curve
dc.contributor.authorHärdle, Wolfgang
dc.contributor.authorSong, Song
dc.date.accessioned2017-06-15T23:40:58Z
dc.date.available2017-06-15T23:40:58Z
dc.date.created2008-04-03
dc.date.issued2008-04-03
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4771
dc.description.abstractLet (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary to know the stochastic fluctuation of the process {ln(x) - l(x)}. Using strong approximations of the empirical process and extreme value theory allows us to consider the asymptotic maximal deviation sup06x61 |ln(x)-l(x)|. The derived result helps in the construction of a uniform confidence band for the quantile curve l(x). This confidence band can be applied as a model check, e.g. in econometrics. An application considers a labour market discrimination effect.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectQuantile Regressioneng
dc.subjectConsistency Rateeng
dc.subjectConfidence Bandeng
dc.subjectCheck Functioneng
dc.subjectKernel Smoothingeng
dc.subjectNonparametric Fittingeng
dc.subject.ddc330 Wirtschaft
dc.titleThe Stochastic Fluctuation of the Quantile Regression Curve
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10087642
dc.identifier.doihttp://dx.doi.org/10.18452/4119
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue27
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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