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Title:Local quantile regression PDF Logo
Authors:Härdle, Wolfgang Karl
Spokoiny, Vladimir
Wang, Weining
Issue Date:2010
Series/Report no.:SFB 649 discussion paper 2011-005
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.
Subjects:conditional quantiles
semiparametric and nonparametric methods
asymmetric Laplace distribution
exponential risk bounds
adaptive bandwidth selection
JEL:C00
C14
J01
J31
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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