Regression quantiles and their two-step modifications
AbstractRegression quantiles and their two-step modifications based on R-estimation of slope components of regression parameter are asymptotically equivalent and are very close numerically even for small sample sizes; their extreme versions even exactly coincide. Regarding that, we study their relations under finite samples and show under which conditions their values exactly coincide. This inter-relation is also numerically illustrated.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 6 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Marc Hallin & Jana Jureckova, 1999. "Optimal tests for autoregressive models based on autoregression rank scores," ULB Institutional Repository 2013/2089, ULB -- Universite Libre de Bruxelles.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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