Nonparametric Estimation of Conditional Quantiles
19 Pages Posted: 16 Dec 2005
Date Written: July 20, 2005
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.
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