Nearly root-n approximation for regression quantile processes

DOI10.1214/12-AOS1021MaRDI QIDQ693744zbMATH OpenOpenAlexFDO

Authors Stephen Portnoy

Publication date 10 December 2012

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.1092, https://projecteuclid.org/euclid.aos/1349196389

zbMATH Keywords

regression quantilesasymptotic approximationHungarian construction

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Linear inference, regression (62J99) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

Abstract: Traditionally, assessing the accuracy of inference based on regression quantiles has relied on the Bahadur representation. This provides an error of order $n^{-1/4}$ in normal approximations, and suggests that inference based on regression quantiles may not be as reliable as that based on other (smoother) approaches, whose errors are generally of order $n^{-1/2}$ (or better in special symmetric cases). Fortunately, extensive simulations and empirical applications show that inference for regression quantiles shares the smaller error rates of other procedures. In fact, the "Hungarian" construction of Koml'{o}s, Major and Tusn'{a}dy [Z. Wahrsch. Verw. Gebiete 32 (1975) 111-131, Z. Wahrsch. Verw. Gebiete 34 (1976) 33-58] provides an alternative expansion for the one-sample quantile process with nearly the root-$n$ error rate (specifically, to within a factor of $logn$). Such an expansion is developed here to provide a theoretical foundation for more accurate approximations for inference in regression quantile models. One specific application of independent interest is a result establishing that for conditional inference, the error rate for coverage probabilities using the Hall and Sheather [J. R. Stat. Soc. Ser. B Stat. Methodol. 50 (1988) 381-391] method of sparsity estimation matches their one-sample rate.

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Cited in

(9)

• Smoothed quantile regression with large-scale inference
• A conversation with Stephen Portnoy
• Bahadur representations for bootstrap quantiles
• On general notions of depth for regression
• The second-order bias of quantile estimators
• Quantile-regression inference with adaptive control of size
• A direct approach to inference in nonparametric and semiparametric quantile models
• Saddlepoint tests for quantile regression
• Smoothing Quantile Regressions

Describes a project that uses

Uses Software

• quantreg

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