Härdle, Wolfgang; Song, Song - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
distribution in a parsimonious way.
Keywords: Quantile Regression; Consistency Rate; Confidence Band;
Check Function; Kernel … more direct approach using
a check function such as a robustified local linear smoother, is provided by
Fan et al. (1994 … convenience. Let l(x) denote
the p-quantile curve, i.e. l(x) = F−1Y|x(p).
Under a “check function”, the quantile regression curvel …