Regression quantiles and their two-step modifications

Jana Jurečková and Jan Picek

Statistics & Probability Letters, 2012, vol. 82, issue 6, 1111-1115

Abstract: Regression quantiles and their two-step modifications based on R-estimation of slope components of regression parameter are asymptotically equivalent and are very close numerically even for small sample sizes; their extreme versions even exactly coincide. Regarding that, we study their relations under finite samples and show under which conditions their values exactly coincide. This inter-relation is also numerically illustrated.

Keywords: Regression quantile; Regression rank scores; Two-step regression quantile; Autoregression quantile; R-estimator (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:6:p:1111-1115

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DOI: 10.1016/j.spl.2012.02.016

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