IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Non-crossing non-parametric estimates of quantile curves

  • Holger Dette
  • Stanislav Volgushev
Registered author(s):

    Since the introduction by Koenker and Bassett, quantile regression has become increasingly important in many applications. However, many non-parametric conditional quantile estimates yield crossing quantile curves (calculated for various "p"  is an element of  (0, 1)). We propose a new non-parametric estimate of conditional quantiles that avoids this problem. The method uses an initial estimate of the conditional distribution function in the first step and solves the problem of inversion and monotonization with respect to "p"  is an element of  (0, 1) simultaneously. It is demonstrated that the new estimates are asymptotically normally distributed with the same asymptotic bias and variance as quantile estimates that are obtained by inversion of a locally constant or locally linear smoothed conditional distribution function. The performance of the new procedure is illustrated by means of a simulation study and some comparisons with the currently available procedures which are similar in spirit with the method proposed are presented. Copyright (c) 2008 Royal Statistical Society.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9868.2008.00651.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).

    Volume (Year): 70 (2008)
    Issue (Month): 3 ()
    Pages: 609-627

    as
    in new window

    Handle: RePEc:bla:jorssb:v:70:y:2008:i:3:p:609-627
    Contact details of provider: Postal: 12 Errol Street, London EC1Y 8LX, United Kingdom
    Phone: -44-171-638-8998
    Fax: -44-171-256-7598
    Web page: http://wileyonlinelibrary.com/journal/rssb
    Email:


    More information through EDIRC

    Order Information: Web: http://ordering.onlinelibrary.wiley.com/subs.asp?ref=1467-9868&doi=10.1111/(ISSN)1467-9868

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bla:jorssb:v:70:y:2008:i:3:p:609-627. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

    or (Christopher F. Baum)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.