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Lajos Horvath, Zsuzsanna Horváth and Wang Zhou

Econometric Theory, 2008, vol. 24, issue 06, 1607-1627

Abstract: Aragon, Daouia, and Thomas-Agnan (2005, Econometric Theory 21, 358–389) introduced a new nonparametric frontier estimation. We prove the weak convergence of the empirical conditional quantile function. The distribution of the limit depends on the unknown conditional quantile density function. We provide a method to construct uniform confidence bands without estimating the conditional quantile density.

Date: 2008
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