Recursive kernel estimate of the conditional quantile for functional ergodic data

Fatima Benziadi, Ali Laksaci and Fethallah Tebboune

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 11, 3097-3113

Abstract: In this article, we study the recursive kernel estimator of the conditional quantile of a scalar response variable Y given a random variable (rv) X taking values in a semi-metric space. Two estimators are considered. While the first one is given by inverting the double-kernel estimate of the conditional distribution function, the second estimator is obtained by using the robust approach. We establish the almost complete consistency of these estimates when the observations are sampled from a functional ergodic process. Finally, a simulation study is carried out to illustrate the finite sample performance of these estimators.

Date: 2016
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DOI: 10.1080/03610926.2014.901364

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