Asymptotic properties of a conditional quantile estimator with randomly truncated data

Mohamed Lemdani, Elias Ould-Saïd and Nicolas Poulin

Journal of Multivariate Analysis, 2009, vol. 100, issue 3, 546-559

Abstract: Let be a response variable that is subject to left-truncation by a variable . We consider the problem of estimating its conditional quantile function given a vector of covariates . We derive almost sure (a.s.) consistency and asymptotic normality results for a kernel estimate of the conditional quantile function. Simulations are drawn to illustrate the results for finite samples.

Keywords: 62G05; 62G20; Asymptotic; normality; Consistency; Kernel; Quantile; function; Truncated; data (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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