Randomly censored quantile regression estimation using functional stationary ergodic data

Mohamed Chaouch and Salah Khardani

Journal of Nonparametric Statistics, 2015, vol. 27, issue 1, 65-87

Abstract: This paper investigates the conditional quantile estimation of a randomly censored scalar response variable given a functional random covariate (i.e. valued in some infinite-dimensional space) whenever a stationary ergodic data are considered. A kernel-type estimator of the conditional quantile function is introduced. Then, a strong consistency rate as well as the asymptotic distribution of the estimator are established under mild assumptions. A simulation study is considered to show the performance of the proposed estimator. An application to the electricity peak demand prediction using censored smart meter data is also provided.

Date: 2015
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DOI: 10.1080/10485252.2014.982651

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