Quantile regression with varying coefficients
Kim, Mi-Ok
Ann. Statist., Tome 35 (2007) no. 1, p. 92-108 / Harvested from Project Euclid
Quantile regression provides a framework for modeling statistical quantities of interest other than the conditional mean. The regression methodology is well developed for linear models, but less so for nonparametric models. We consider conditional quantiles with varying coefficients and propose a methodology for their estimation and assessment using polynomial splines. The proposed estimators are easy to compute via standard quantile regression algorithms and a stepwise knot selection algorithm. The proposed Rao-score-type test that assesses the model against a linear model is also easy to implement. We provide asymptotic results on the convergence of the estimators and the null distribution of the test statistic. Empirical results are also provided, including an application of the methodology to forced expiratory volume (FEV) data.
Publié le : 2007-02-14
Classification:  Quantile regression,  varying-coefficient model,  regression splines,  hypothesis test,  62G08,  62G35
@article{1181100182,
     author = {Kim, Mi-Ok},
     title = {Quantile regression with varying coefficients},
     journal = {Ann. Statist.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 92-108},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1181100182}
}
Kim, Mi-Ok. Quantile regression with varying coefficients. Ann. Statist., Tome 35 (2007) no. 1, pp.  92-108. http://gdmltest.u-ga.fr/item/1181100182/