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Mean squared error properties of kernel estimates or regression quantiles

Author

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  • Jones, M. C.
  • Hall, Peter

Abstract

Mean squared error properties of kernel estimates of regression quantiles, for both fixed and random design cases, are derived and discussed.

Suggested Citation

  • Jones, M. C. & Hall, Peter, 1990. "Mean squared error properties of kernel estimates or regression quantiles," Statistics & Probability Letters, Elsevier, vol. 10(4), pages 283-289, September.
    • Handle: RePEc:eee:stapro:v:10:y:1990:i:4:p:283-289
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    Citations

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    Cited by:

    1. Yu, Keming, 2002. "Quantile regression using RJMCMC algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 303-315, August.
    2. De Gooijer, Jan G. & Gannoun, Ali & Zerom, Dawit, 2002. "Mean squared error properties of the kernel-based multi-stage median predictor for time series," Statistics & Probability Letters, Elsevier, vol. 56(1), pages 51-56, January.
    3. Yu, Keming & Jones, M. C., 1997. "A comparison of local constant and local linear regression quantile estimators," Computational Statistics & Data Analysis, Elsevier, vol. 25(2), pages 159-166, July.
    4. Abberger, Klaus, 1995. "Kreuzvalidierung in der nichtparametrischen Quantilsregression," Discussion Papers, Series II 254, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    5. Sékou Falil Doumbouya & Aboubacar Kaba & Mama Kéita & Ousmane Bah & Mohamed Lamine Doumbouya M.L. & Koulako Camara, 2009. "Services sociaux d'éducation et de santé en Guinée: Effets redistributifs de la politique gouvernementale," Working Papers PMMA 2009-02, PEP-PMMA.
    6. Toshio Honda, 2000. "Nonparametric Estimation of a Conditional Quantile for α-Mixing Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 459-470, September.
    7. Heiler, Siegfried, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Papers 99/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    8. Gannoun, Ali & Girard, Stephane & Guinot, Christiane & Saracco, Jerome, 2004. "Sliced inverse regression in reference curves estimation," Computational Statistics & Data Analysis, Elsevier, vol. 46(1), pages 103-122, May.
    9. Chen, Xirong & Li, Degui & Li, Qi & Li, Zheng, 2019. "Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates," Journal of Econometrics, Elsevier, vol. 212(2), pages 433-450.
    10. Ould-SaI¨d, Elias, 2006. "A strong uniform convergence rate of kernel conditional quantile estimator under random censorship," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 579-586, March.
    11. Racine, Jeffrey S. & Li, Kevin, 2017. "Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach," Journal of Econometrics, Elsevier, vol. 201(1), pages 72-94.
    12. Wang, Qiao, 2023. "A simple nonparametric conditional quantile estimator for time series with thin tails," Economics Letters, Elsevier, vol. 232(C).
    13. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.

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