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https://hdl.handle.net/10419/56710
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Härdle, Wolfgang Karl | en |
dc.contributor.author | Spokoiny, Vladimir | en |
dc.contributor.author | Wang, Weining | en |
dc.date.accessioned | 2011-01-05 | - |
dc.date.accessioned | 2012-04-05T16:19:45Z | - |
dc.date.available | 2012-04-05T16:19:45Z | - |
dc.date.issued | 2010 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2011-005 | en |
dc.subject.jel | C00 | en |
dc.subject.jel | C14 | en |
dc.subject.jel | J01 | en |
dc.subject.jel | J31 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | conditional quantiles | en |
dc.subject.keyword | semiparametric and nonparametric methods | en |
dc.subject.keyword | asymmetric Laplace distribution | en |
dc.subject.keyword | exponential risk bounds | en |
dc.subject.keyword | adaptive bandwidth selection | en |
dc.subject.stw | Regression | en |
dc.subject.stw | Nichtparametrisches Verfahren | en |
dc.subject.stw | Theorie | en |
dc.title | Local quantile regression | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 642769036 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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