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Estimation of additive quantile regression

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  • Holger Dette

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  • Regine Scheder

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10463-009-0225-5
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 63 (2011)
    Issue (Month): 2 (April)
    Pages: 245-265

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    Handle: RePEc:spr:aistmt:v:63:y:2011:i:2:p:245-265

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Conditional quantiles; Additive models; Marginal integration; Non-increasing rearrangements;

    References

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    1. Joel Horowitz & Sokbae 'Simon' Lee, 2004. "Nonparametric estimation of an additive quantile regression model," CeMMAP working papers CWP07/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Hengartner, Nicolas W. & Sperlich, Stefan, 2005. "Rate optimal estimation with the integration method in the presence of many covariates," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 246-272, August.
    3. Natalie Neumeyer & Stefan Sperlich, 2006. "Comparison of Separable Components in Different Samples," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 33(3), pages 477-501.
    4. Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile and probability curves without crossing," CeMMAP working papers CWP10/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Collomb, Gérard & Härdle, Wolfgang, 1986. "Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations," Stochastic Processes and their Applications, Elsevier, vol. 23(1), pages 77-89, October.
    6. Peter Hall & Rodney C. L. Wolff & Qiwei Yao, 1999. "Methods for estimating a conditional distribution function," LSE Research Online Documents on Economics 6631, London School of Economics and Political Science, LSE Library.
    7. De Gooijer J.G. & Zerom D., 2003. "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 135-146, January.
    8. Yu, Keming & Jones, M. C., 1997. "A comparison of local constant and local linear regression quantile estimators," Computational Statistics & Data Analysis, Elsevier, vol. 25(2), pages 159-166, July.
    9. Doksum, Kjell & Koo, Ja-Yong, 2000. "On spline estimators and prediction intervals in nonparametric regression," Computational Statistics & Data Analysis, Elsevier, vol. 35(1), pages 67-82, November.
    10. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    11. Harrison, David Jr. & Rubinfeld, Daniel L., 1978. "Hedonic housing prices and the demand for clean air," Journal of Environmental Economics and Management, Elsevier, vol. 5(1), pages 81-102, March.
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    Cited by:
    1. Holger Dette, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 437-441, September.

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