Finite-sample distribution of regression quantiles
AbstractThe finite-sample distributions of the regression quantile and of the extreme regression quantile are derived for a broad class of distributions of the model errors, even for the non-i.i.d case. The distributions are analogous to the corresponding distributions in the location model; this again confirms that the regression quantile is a straightforward extension of the sample quantile. As an application, the tail behavior of the regression quantile is studied.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 80 (2010)
Issue (Month): 23-24 (December)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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