Local linear quantile regression with truncated and dependent data

Jiang-Feng Wang, Wei-Min Ma, Guo-Liang Fan and Li-Min Wen

Statistics & Probability Letters, 2015, vol. 96, issue C, 232-240

Abstract: In this paper, we construct a nonparametric regression quantile estimator by using the local linear fitting for left-truncated data, and establish the Bahadur-type representation and asymptotic normality of the proposed estimator when the observations form a stationary α-mixing sequence. Finite-sample performance of the estimator is investigated via simulation studies.

Keywords: Asymptotic normality; Regression quantile; Local linear fitting; Truncated data; α-mixing (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2014.09.029

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