Finite-sample distribution of regression quantiles |
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Authors: | Jana Jure?ková |
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Institution: | Department of Probability and Statistics, MFF UK, Charles University, Sokolovská 83, CZ-186 75 Prague 8, Czech Republic |
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Abstract: | 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 application, the tail behavior of the regression quantile is studied. |
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