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Kreuzvalidierung in der nichtparametrischen Quantilsregression

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  • Abberger, Klaus

Abstract

Nichtparametrische Verfahren zur Dichte- und Regressionsschätzung setzen die Wahl eines Glättungsparameters voraus. Ein oft verwendetes Verfahren zu dessen Bestimmung ist die Kreuzvalidierung. Die Übertragung dieser Methode auf die Quantiisregression ist Gegenstand der vorliegenden Arbeit. Es werden ein Kreuz validierungsverfahren definiert und einige Eigenschaften dieser Vorgehensweise aufgezeigt. Simulationen für verschiedene Verteilungsannahmen sollen weitere Einblicke in die Anwendbarkeit der vorliegenden Prozedur geben.

Suggested Citation

  • Abberger, Klaus, 1995. "Kreuzvalidierung in der nichtparametrischen Quantilsregression," Discussion Papers, Series II 254, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    • Handle: RePEc:zbw:kondp2:254
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    References listed on IDEAS

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    1. Abberger, Klaus, 1994. "Nichtparametrische Schätzung bedingter Quantile in Finanzmarktdaten," Discussion Papers, Series II 225, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    2. Jones, M. C. & Hall, Peter, 1990. "Mean squared error properties of kernel estimates or regression quantiles," Statistics & Probability Letters, Elsevier, vol. 10(4), pages 283-289, September.
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