Local quantile regression
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Publication:2434697
DOI10.1016/J.JSPI.2013.03.008zbMATH Open1279.62098arXiv1208.5384OpenAlexW2020323174MaRDI QIDQ2434697FDOQ2434697
Authors: Weining Wang, V. G. Spokoiny, Wolfgang K. Härdle 
Publication date: 6 February 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: Quantile regression is a technique to estimate conditional quantile curves. It provides a comprehensive picture of a response contingent on explanatory variables. In a flexible modeling framework, a specific form of the conditional quantile curve 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 estimator of the conditional quantile curve requires to balance between local curvature and stochastic variability. In this paper, we suggest a local model selection technique that provides an adaptive estimator of the conditional quantile regression curve at each design point. Theoretical results claim that the proposed adaptive procedure performs as good as an oracle which would minimize the local estimation risk for the problem at hand. We illustrate the performance of the procedure by an extensive simulation study and consider a couple of applications: to tail dependence analysis for the Hong Kong stock market and to analysis of the distributions of the risk factors of temperature dynamics.
Full work available at URL: https://arxiv.org/abs/1208.5384
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Cited In (25)
- Robust estimation of nonparametric function via addition sequence
- Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
- A simple nonparametric conditional quantile estimator for time series with thin tails
- Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach
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- Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods
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