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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56710
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Härdle, Wolfgang Karl | | en_US |
| dc.contributor.author | | Spokoiny, Vladimir | | en_US |
| dc.contributor.author | | Wang, Weining | | en_US |
| dc.date.accessioned | | 2011-01-05 | | en_US |
| dc.date.accessioned | | 2012-04-05T16:19:45Z | | - |
| dc.date.available | | 2012-04-05T16:19:45Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56710 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2011-005 | | en_US |
| dc.subject.jel | | C00 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | J01 | | en_US |
| dc.subject.jel | | J31 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | conditional quantiles | | en_US |
| dc.subject.keyword | | semiparametric and nonparametric methods | | en_US |
| dc.subject.keyword | | asymmetric Laplace distribution | | en_US |
| dc.subject.keyword | | exponential risk bounds | | en_US |
| dc.subject.keyword | | adaptive bandwidth selection | | en_US |
| dc.subject.stw | | Regression | | en_US |
| dc.subject.stw | | Nichtparametrisches Verfahren | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Local quantile regression | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 642769036 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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