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2011-01-03Buch DOI: 10.18452/4295
Local Quantile Regression
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorSpokoiny, Vladimir
dc.contributor.authorWang, Weining
dc.date.accessioned2017-06-16T00:16:59Z
dc.date.available2017-06-16T00:16:59Z
dc.date.created2011-04-15
dc.date.issued2011-01-03
dc.date.submitted2011-01-03
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4947
dc.description.abstractConditional 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectConditional Quantileseng
dc.subjectSemiparametric and Nonparametric Methodseng
dc.subjectAsymmetric Laplace Distributioneng
dc.subjectExponential Risk Boundseng
dc.subjectAdaptive Bandwidth Selectioneng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleLocal Quantile Regression
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100185713
dc.identifier.doihttp://dx.doi.org/10.18452/4295
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue5
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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