Local Quantile Regression
SFB 649 Discussion Paper 2011-005
32 Pages Posted: 9 Jan 2017
Date Written: December 13, 2010
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.
Keywords: Conditional Quantiles, Semiparametric and Nonparametric Methods, Asymmetric Laplace Distribution, Exponential Risk Bounds, Adaptive Bandwidth Selection
JEL Classification: C00, C14, J01, J31
Suggested Citation: Suggested Citation