Optimal smoothing in nonparametric conditional quantile derivative function estimation

DOI10.1016/j.jeconom.2015.03.014zbMath1337.62079OpenAlexW2028274850MaRDI QIDQ2516320

Yanyan Li

Publication date: 13 August 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.014

zbMATH Keywords

quantile regressionlocal polynomial smoothinggradient estimationlease squares cross validation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (5)

A critical review of univariate non-parametric estimation of first derivatives ⋮ Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach ⋮ Tuning parameter selection for nonparametric derivative estimation in random design ⋮ Computation and application of robust data-driven bandwidth selection for gradient function estimation ⋮ Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function

Uses Software

• CAViaR

Cites Work

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