Finite-sample distribution of regression quantiles

Jana Jurecková

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1940-1946

Abstract: The finite-sample distributions of the regression quantile and of the extreme regression quantile are derived for a broad class of distributions of the model errors, even for the non-i.i.d case. The distributions are analogous to the corresponding distributions in the location model; this again confirms that the regression quantile is a straightforward extension of the sample quantile. As an application, the tail behavior of the regression quantile is studied.

Keywords: Order; statistic; Regression; quantile; Extreme; regression; quantile; Regression; rank; scores; Score; function (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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