@techreport{Hardle2010Local,
abstract = {Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile 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 estimate of the conditional quantile curve requires to consider a balance between local curvature and variance. In this paper, we analyze a method based on a local model selection technique that provides an adaptive estimate. Theoretical properties on mimicking the oracle choice are offered and applications to stock market and weather analysis are presented.},
address = {Berlin},
author = {Wolfgang Karl H\"{a}rdle and Vladimir Spokoiny and Weining Wang},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C00; C14; J01; J31; 330; conditional quantiles; semiparametric and nonparametric methods; asymmetric Laplace distribution; exponential risk bounds; adaptive bandwidth selection; Regression; Nichtparametrisches Verfahren; Theorie},
language = {eng},
number = {2011-005},
publisher = {SFB 649, Economic Risk},
title = {Local quantile regression},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/56710},
year = {2010}
}
