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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56710
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| Title: | | Local quantile regression  |
| 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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