Estimation of additive quantile regression |
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Authors: | Holger Dette Regine Scheder |
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Institution: | 1.Fakult?t für Mathematik,Ruhr-Universit?t Bochum,Bochum,Germany |
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Abstract: | We consider the nonparametric estimation problem of conditional regression quantiles with high-dimensional covariates. For
the additive quantile regression model, we propose a new procedure such that the estimated marginal effects of additive conditional
quantile curves do not cross. The method is based on a combination of the marginal integration technique and non-increasing
rearrangements, which were recently introduced in the context of estimating a monotone regression function. Asymptotic normality
of the estimates is established with a one-dimensional rate of convergence and the finite sample properties are studied by
means of a simulation study and a data example. |
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Keywords: | |
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