New bandwidth selection for kernel quantile estimators

DOI10.1155/2012/138450MaRDI QIDQ764427zbMATHOpenAlexWikidataFDO

Authors Ali Alkenani, Keming Yu

Publication date 13 March 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/138450

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

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Cites work

• scientific article; zbMATH DE number 3789676 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• A Smooth Nonparametric Estimator of a Quantile Function
• Estimating densities, quantiles, quantile densities and density quantiles
• Kernel Quantile Estimators
• Nonparametric Statistical Data Modeling
• Relative deficiency of kernel type estimators of quantiles

Cited in

(7)

• An algorithm for optimal bandwidth selection for smooth nonparametric quantile estimation
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
• A plug-in bandwidth selector for nonparametric quantile regression
• Kernel Quantile Estimators
• The data-based choice of bandwidth for kernel quantile estimator of VaR
• Kernel quantile estimator with ICI adaptive bandwidth selection technique
• Improving bandwidth selection methods by adding quantitative constraints

Describes a project that uses

Uses Software

• KernSmooth

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