Penalizing function based bandwidth choice in nonparametric quantile regression

Klaus Abberger (University of Konstanz, Germany)

In nonparametric mean regression various methods for bandwidth choice exist. These methods can roughly be divided into plug-in methods and methods based on penalizing functions. This paper uses the approach based on penalizing functions and adapt it to nonparametric quantile regression estimation, where bandwidth choice is still an unsolved problem. Various criteria for bandwitdth choice are defined and compared in some simulation examples.

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Year of publication:	[2001]
Authors:	Abberger, Klaus
Publisher:	[Konstanz] : [Zentrum für Finanzen und Ökonometrie, Universität Konstanz]
Subject:	nonparametric quantile regression \| bandwidth choice \| crossvalidation \| penalizing functions \| Regressionsanalyse \| Regression analysis \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Theorie \| Theory

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Extent:	1 Online-Ressource (circa 15 Seiten) Illustrationen
Series:	CoFE discussion papers. - Konstanz : Univ., ZDB-ID 2172016-2. - Vol. [01, 10]
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/85240 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011545176