Conditional Quantile Estimation Based on Optimal Quantization: from Theory to Practice

Isabelle Charlier, Davy Paindaveine and Jérôme Saracco

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: Charlier, Paindaveine, and Saracco (2014) recently introduced a nonparametric estimatorof conditional quantiles based on optimal quantization, but almost exclusively focused onits theoretical properties. In this paper, (i) we discuss its practical implementation (byproposing in particular a method to properly select the corresponding smoothing parameter,namely the number of quantizers) and (ii) we investigate how its finite-sample performancescompare with those of its classical kernel or nearest-neighbor competitors. Monte Carlostudies reveal that the quantization-based estimator competes well in all cases and tends todominate its competitors for non-uniformly distributed covariates. We also treat a real dataset. While the paper mostly focuses on the case of a univariate covariate, we also brieflydiscuss the multivariate case and provide an illustration for bivariate regressors.

Keywords: conditional quantiles; optimal quantization; nonparametric regression (search for similar items in EconPapers)
Pages: 30 p.
Date: 2014-09
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/1749 ... ACCO-conditional.pdf 2014-39-CHARLIER_PAINDAVEINE_SARACCO-conditional (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/174929

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/174929

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().