Quantile regression without the curse of unsmoothness
AbstractWe consider quantile regression models and investigate the induced smoothing method for obtaining the covariance matrix of the regression parameter estimates. We show that the difference between the smoothed and unsmoothed estimating functions in quantile regression is negligible. The detailed and simple computational algorithms for calculating the asymptotic covariance are provided. Intensive simulation studies indicate that the proposed method performs very well. We also illustrate the algorithm by analyzing the rainfall-runoff data from Murray Upland, Australia.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 53 (2009)
Issue (Month): 10 (August)
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Web page: http://www.elsevier.com/locate/csda
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