Local asymptotics for nonparametric quantile regression with regression splines

Weihua Zhao; Heng Lian

doi:10.1016/j.spl.2016.06.002

Local asymptotics for nonparametric quantile regression with regression splines

Weihua Zhao
, Heng Lian^*

^*Corresponding author for this work

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

3 Citations (Scopus)

Abstract

We consider nonparametric quantile regression using B-splines and derive local asymptotic properties of the estimator. As a by-product, we establish the convergence rate of the estimator in L_∞ norm which seems to be missing in the literature. Simulations are carried out to investigate the coverage of the pointwise confidence interval.

Original language	English
Pages (from-to)	209-215
Journal	Statistics and Probability Letters
Volume	117
DOIs	https://doi.org/10.1016/j.spl.2016.06.002
Publication status	Published - 1 Oct 2016
Externally published	Yes

Research Keywords

Asymptotic normality
B-splines
Check loss function
L∞ norm

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10.1016/j.spl.2016.06.002

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title = "Local asymptotics for nonparametric quantile regression with regression splines",

abstract = "We consider nonparametric quantile regression using B-splines and derive local asymptotic properties of the estimator. As a by-product, we establish the convergence rate of the estimator in L∞ norm which seems to be missing in the literature. Simulations are carried out to investigate the coverage of the pointwise confidence interval.",

keywords = "Asymptotic normality, B-splines, Check loss function, L∞ norm",

author = "Weihua Zhao and Heng Lian",

year = "2016",

month = oct,

day = "1",

doi = "10.1016/j.spl.2016.06.002",

language = "English",

volume = "117",

pages = "209--215",

journal = "Statistics and Probability Letters",

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publisher = "Elsevier B.V.",

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TY - JOUR

T1 - Local asymptotics for nonparametric quantile regression with regression splines

AU - Zhao, Weihua

AU - Lian, Heng

PY - 2016/10/1

Y1 - 2016/10/1

N2 - We consider nonparametric quantile regression using B-splines and derive local asymptotic properties of the estimator. As a by-product, we establish the convergence rate of the estimator in L∞ norm which seems to be missing in the literature. Simulations are carried out to investigate the coverage of the pointwise confidence interval.

AB - We consider nonparametric quantile regression using B-splines and derive local asymptotic properties of the estimator. As a by-product, we establish the convergence rate of the estimator in L∞ norm which seems to be missing in the literature. Simulations are carried out to investigate the coverage of the pointwise confidence interval.

KW - Asymptotic normality

KW - B-splines

KW - Check loss function

KW - L∞ norm

UR - https://www.scopus.com/pages/publications/84976572788

UR - https://www.scopus.com/pages/publications/84976572788#tab=impact

U2 - 10.1016/j.spl.2016.06.002

DO - 10.1016/j.spl.2016.06.002

M3 - RGC 21 - Publication in refereed journal

SN - 0167-7152

VL - 117

SP - 209

EP - 215

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Local asymptotics for nonparametric quantile regression with regression splines

Abstract

Research Keywords

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