Nonparametric Estimation of Conditional Quantiles

19 Pages Posted: 16 Dec 2005

See all articles by Alexander Kukush

Alexander Kukush

Catholic University of Leuven (KUL)

Jan Beirlant

Catholic University of Leuven (KUL)

Yuri Goegebeur

Catholic University of Leuven (KUL)

Date Written: July 20, 2005

Abstract

Nonextreme regression quantiles are estimated nonparametrically on the basis of local polynomial approximations to the true conditional quantile function. The consistency of the estimator is shown. The asymptotic normality is proven and the asymptotic confidence interval for the regression quantile is constructed.

Keywords: Local polynomial estimation, Quantile regression, Consistency, Asymptotic normality.

Suggested Citation

Kukush, Alexander and Beirlant, Jan and Goegebeur, Yuri, Nonparametric Estimation of Conditional Quantiles (July 20, 2005). Available at SSRN: https://ssrn.com/abstract=870264 or http://dx.doi.org/10.2139/ssrn.870264

Alexander Kukush (Contact Author)

Catholic University of Leuven (KUL) ( email )

Leuven, B-3000
Belgium

Jan Beirlant

Catholic University of Leuven (KUL) ( email )

W. de Croylaan 54
Leuven, B-3001
Belgium

Yuri Goegebeur

Catholic University of Leuven (KUL) ( email )

Tervuursevest, 101
Heverlee, B-3001
Belgium

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