Improved local quantile regression
Keyword(s):
We investigate a new kernel-weighted likelihood smoothing quantile regression method. The likelihood is based on a normal scale-mixture representation of asymmetric Laplace distribution (ALD). This approach enjoys the same good design adaptation as the local quantile regression ( Spokoiny et al., 2013 , Journal of Statistical Planning and Inference, 143, 1109–1129), particularly for smoothing extreme quantile curves, and ensures non-crossing quantile curves for any given sample. The performance of the proposed method is evaluated via extensive Monte Carlo simulation studies and one real data analysis.
2011 ◽
Vol 2011
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pp. 1-16
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2020 ◽
Vol 16
(2)
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pp. 212-236
2020 ◽
Vol 14
(2)
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pp. 305-312
2019 ◽
Vol 1245
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pp. 012044