Quantile processes for semi and nonparametric regression

DOI10.1214/17-EJS1313MaRDI QIDQ2408237zbMATH OpenFDO

Authors Shih-Kang Chao, Stanislav Volgushev, Guang Cheng

Publication date 12 October 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.02130, https://projecteuclid.org/euclid.ejs/1506931550

zbMATH Keywords

Bahadur representationseries estimationquantile regression processsemi/nonparametric model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: A collection of quantile curves provides a complete picture of conditional distributions. Properly centered and scaled versions of estimated curves at various quantile levels give rise to the so-called quantile regression process (QRP). In this paper, we establish weak convergence of QRP in a general series approximation framework, which includes linear models with increasing dimension, nonparametric models and partial linear models. An interesting consequence is obtained in the last class of models, where parametric and non-parametric estimators are shown to be asymptotically independent. Applications of our general process convergence results include the construction of non-crossing quantile curves and the estimation of conditional distribution functions. As a result of independent interest, we obtain a series of Bahadur representations with exponential bounds for tail probabilities of all remainder terms. Bounds of this kind are potentially useful in analyzing statistical inference procedures under divide-and-conquer setup.

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