Local Linear Quantile Regression With Dependent Censored Data
(2009) Statistica Sinica — Vol. 19, n° 4, p. 1621-1640 (2009)
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- Abstract
- We consider the problem of nonparametrically estimating the conditional quantile function from censored dependent data. The method proposed here is based on a local linear fit using the check function approach. The asymptotic properties of the proposed estimator are established. Since the estimator is defined as a solution of a minimization problem, we also propose a numerical algorithm. We investigate the performance of the estimator for small samples through a simulation study, and we also discuss the optimal choice of the bandwidth parameters.
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Citations
El Ghouch, A., & Van Keilegom, I. (2009). Local Linear Quantile Regression With Dependent Censored Data. Statistica Sinica, 19(4), 1621-1640. https://hdl.handle.net/2078.5/60301 (Original work published 2009)