An Improved Monotone Conditional Quantile Estimator
Mukerjee, Hari
Ann. Statist., Tome 21 (1993) no. 1, p. 924-942 / Harvested from Project Euclid
Suppose that $(X_1, Y_1),\cdots, (X_n, Y_n)$ are i.i.d. bivariate random vectors and that $\xi_p(x)$ is the $p$-quantile of $Y_1$ given $X_1 = x$ for $0 < p < 1$. Estimation of $\xi_p(x)$, when it is monotone in $x$, has been studied in the literature. In the nonparametric conditional quantile estimation one uses only some smoothness assumptions. The asymptotic properties are superior in the latter case; however, monotonicity is not guaranteed. We introduce a new estimator that enjoys both of the above properties.
Publié le : 1993-06-14
Classification:  Monotone conditional quantiles,  Bahadur representation,  62G05,  62G30
@article{1176349158,
     author = {Mukerjee, Hari},
     title = {An Improved Monotone Conditional Quantile Estimator},
     journal = {Ann. Statist.},
     volume = {21},
     number = {1},
     year = {1993},
     pages = { 924-942},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349158}
}
Mukerjee, Hari. An Improved Monotone Conditional Quantile Estimator. Ann. Statist., Tome 21 (1993) no. 1, pp.  924-942. http://gdmltest.u-ga.fr/item/1176349158/