Penalizing function based bandwidth choice in nonparametric quantile regression

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2001
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Abberger, Klaus
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Zusammenfassung

In nonparametric mean regression various methods for bandwidth choice exist. These methods can roughly be divided into plug-in methods and methods based on penalizing functions. This paper uses the approach based on penalizing functions and adapt it to nonparametric quantile regression estimation, where bandwidth choice is still an unsolved problem. Various criteria for bandwidth choice are defined and compared in some simulation examples.

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330 Wirtschaft
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nonparametric quantile regression, bandwidth choice, cross-validation, penalizing functions
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ISO 690ABBERGER, Klaus, 2001. Penalizing function based bandwidth choice in nonparametric quantile regression
BibTex
@techreport{Abberger2001Penal-12115,
  year={2001},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Penalizing function based bandwidth choice in nonparametric quantile regression},
  number={2001/10},
  author={Abberger, Klaus}
}
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