ESTIMATION OF QUANTILE DENSITY-FUNCTION BASED ON REGRESSION QUANTILES

被引：6

作者：

DODGE, Y

JURECKOVA, J

机构：

[1] UNIV NEUCHATEL,STAT GRP,CH-2000 NEUCHATEL,SWITZERLAND

[2] CHARLES UNIV,CR-18600 PRAGUE 8,CZECH REPUBLIC

来源：

STATISTICS & PROBABILITY LETTERS | 1995年 / 23卷 / 01期

关键词：

D O I：

10.1016/0167-7152(94)00097-R

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose two estimators of quantile density function in linear regression model. The estimators, either of histogram or of kernel types, are based on regression quantiles and extend the Falk (1986) estimators based on order statistics from the location to the linear regression model. Unlike various other estimators proposed in the literature, our estimators are regression invariant and scale equivariant and hence applicable in estimation, testing, bounded-length confidence interval estimation and other inference based on L(1)-norm.

引用

页码：73 / 78

页数：6

共 50 条

[41] Power consumption interval prediction based on quantile regression neural network and kernel density estimation
Lv, Haohui
Chen, Guandi
Deng, Mingbin
Tan, Zhiyuan
Hu, Wen
[J]. 2018 11TH INTERNATIONAL SYMPOSIUM ON COMPUTATIONAL INTELLIGENCE AND DESIGN (ISCID), VOL 2, 2018, : 295 - 300
[42] THE PROBABILITY DENSITY-FUNCTION OF RAIN RATE AND THE ESTIMATION OF RAINFALL BY AREA INTEGRALS
SAUVAGEOT, H
[J]. JOURNAL OF APPLIED METEOROLOGY, 1994, 33 (11): : 1255 - 1262
[43] CONSISTENT ESTIMATION OF RANDOM WINDOW-WIDTH KERNEL OF DENSITY-FUNCTION
CHAI, GX
[J]. SCIENTIA SINICA SERIES A-MATHEMATICAL PHYSICAL ASTRONOMICAL & TECHNICAL SCIENCES, 1984, 27 (11): : 1155 - 1163
[44] ESTIMATION OF A PROBABILITY DENSITY-FUNCTION WITH APPLICATIONS TO NONPARAMETRIC-INFERENCE IN ECONOMETRICS
ULLAH, A
SINGH, RS
[J]. ADVANCES IN ECONOMETRICS AND MODELLING, 1989, 15 : 69 - 83
[45] Value at risk estimation based on generalized quantile regression
Wang, Yongqiao
[J]. 2009 IEEE INTERNATIONAL CONFERENCE ON INTELLIGENT COMPUTING AND INTELLIGENT SYSTEMS, PROCEEDINGS, VOL 1, 2009, : 674 - 678
[46] PROBABILITY DENSITY-FUNCTION FIT
MANNO, I
[J]. NUOVO CIMENTO DELLA SOCIETA ITALIANA DI FISICA B-GENERAL PHYSICS RELATIVITY ASTRONOMY AND MATHEMATICAL PHYSICS AND METHODS, 1993, 108 (06): : 699 - 703
[47] A SIMPLE PREDICTIVE DENSITY-FUNCTION
LEJEUNE, M
FAULKENBERRY, GD
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1982, 77 (379) : 654 - 657
[48] BEST OBTAINABLE ASYMPTOTIC RATES OF CONVERGENCE IN ESTIMATION OF A DENSITY-FUNCTION AT A POINT
FARRELL, RH
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1972, 43 (01): : 170 - &
[49] ASYMPTOTICALLY EFFICIENT NONPARAMETRIC-ESTIMATION OF FUNCTIONALS OF A SPECTRAL DENSITY-FUNCTION
HASMINSKII, RZ
IBRAGIMOV, IA
[J]. PROBABILITY THEORY AND RELATED FIELDS, 1986, 73 (03) : 447 - 461
[50] A LAW OF THE ITERATED LOGARITHM FOR NEAREST NEIGHBOR ESTIMATION OF MULTIVARIATE DENSITY-FUNCTION
HONG, SY
CHEN, GJ
KONG, FC
GAO, JT
[J]. ACTA MATHEMATICA SCIENTIA, 1992, 12 (04) : 472 - 478

← 1 2 3 4 5 →