2011-01-03Buch DOI: 10.18452/4295
Local Quantile Regression
Härdle, Wolfgang Karl
Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications do not per se require specific functional forms. This motivates a local parametric rather than a global fixed model fitting approach. A nonparametric smoothing estimate of the conditional quantile curve requires to consider a balance between local curvature and variance. In this paper, we analyze a method based on a local model selection technique that provides an adaptive estimate. Theoretical properties on mimicking the oracle choice are offered and applications to stock market and weather analysis are presented.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 5, SFB 649 Papers, ISSN:1860-5664