Local Quantile Regression
dc.contributor.author | Härdle, Wolfgang Karl | |
dc.contributor.author | Spokoiny, Vladimir | |
dc.contributor.author | Wang, Weining | |
dc.date.accessioned | 2017-06-16T00:16:59Z | |
dc.date.available | 2017-06-16T00:16:59Z | |
dc.date.created | 2011-04-15 | |
dc.date.issued | 2011-01-03 | |
dc.date.submitted | 2011-01-03 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4947 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Conditional Quantiles | eng |
dc.subject | Semiparametric and Nonparametric Methods | eng |
dc.subject | Asymmetric Laplace Distribution | eng |
dc.subject | Exponential Risk Bounds | eng |
dc.subject | Adaptive Bandwidth Selection | eng |
dc.subject.ddc | 310 Sammlungen allgemeiner Statistiken | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Local Quantile Regression | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-100185713 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4295 | |
local.edoc.pages | 32 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2011 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2011,5 |