Local asymptotics for nonparametric quantile regression with regression splines

Weihua Zhao and Heng Lian

Statistics & Probability Letters, 2016, vol. 117, issue C, 209-215

Abstract: We consider nonparametric quantile regression using B-splines and derive local asymptotic properties of the estimator. As a by-product, we establish the convergence rate of the estimator in L∞ norm which seems to be missing in the literature. Simulations are carried out to investigate the coverage of the pointwise confidence interval.

Keywords: Asymptotic normality; B-splines; Check loss function; L∞ norm (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.06.002

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