Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56710 
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dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorSpokoiny, Vladimiren
dc.contributor.authorWang, Weiningen
dc.date.accessioned2011-01-05-
dc.date.accessioned2012-04-05T16:19:45Z-
dc.date.available2012-04-05T16:19:45Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/56710-
dc.description.abstractConditional 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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-005en
dc.subject.jelC00en
dc.subject.jelC14en
dc.subject.jelJ01en
dc.subject.jelJ31en
dc.subject.ddc330en
dc.subject.keywordconditional quantilesen
dc.subject.keywordsemiparametric and nonparametric methodsen
dc.subject.keywordasymmetric Laplace distributionen
dc.subject.keywordexponential risk boundsen
dc.subject.keywordadaptive bandwidth selectionen
dc.subject.stwRegressionen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwTheorieen
dc.titleLocal quantile regression-
dc.typeWorking Paperen
dc.identifier.ppn642769036en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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