Conditional Quantile Estimation with Truncated, Censored and Dependent Data |
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| Authors: | Hanying LIANG Deli LI and Tianxuan MIAO |
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| Institution: | Department of Mathematics,
Tongji University, Shanghai 200092, China.,Department of Mathematical Sciences, Lakehead University,
955 Oliver Road, Thunder Bay, Ontario, Canada P7B 5E1. and Department of Mathematical Sciences, Lakehead University,
955 Oliver Road, Thunder Bay, Ontario, Canada P7B 5E1. |
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| Abstract: | This paper deals with the conditional quantile estimation based on
left-truncated and right-censored data. Assuming that the
observations with multivariate covariates form a stationary
$\alpha$-mixing sequence, the authors derive the strong convergence
with rate, strong representation as well as asymptotic normality of
the conditional quantile estimator. Also, a Berry-Esseen-type bound
for the estimator is established. In addition, the finite sample
behavior of the estimator is investigated via simulations. |
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| Keywords: | Berry-Esseen-type bound Conditional quantile estimator Strong
representation Truncated and censored data $\alpha$-mixing |
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