Finite-sample distribution of regression quantiles
نویسندگان
چکیده
منابع مشابه
Finite-sample distribution of regression quantiles
The 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 ap...
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We show that subexponentiality is not suucient to guarantee that the distribution tail of a sample quantile of an innnitely divisible process is equivalent to the \tail" of the same sample quantile under the corresponding L evy measure. However, such an equivalence result is shown to hold under either an assumption of an appropriatly slow tail decay or an assumption on the structure of the proc...
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In a nonparametric setup involving stochastic regressors. regression quantiles relate to the so called conditional quantile functions. Various asymptotic properties of such conditional quantile processes are studied with due emphasis on the underlying design aspects.
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2010
ISSN: 0167-7152
DOI: 10.1016/j.spl.2010.08.023