Single functional index quantile regression under general dependence structure

Mohamed Chaouch, Amina Angelika Bouchentouf, Aboubacar Traore and Abbes Rabhi

Journal of Nonparametric Statistics, 2020, vol. 32, issue 3, 725-755

Abstract: The main purpose of this paper is to estimate, semi-parametrically, the quantiles of a conditional distribution when the response is a real-valued random variable subject to a right-censorship phenomenon and the predictor takes values in an infinite dimensional space. We assume that the explanatory and the response variables are linked through a single-index structure. First, we introduce a kernel-type estimator of the conditional quantile when the data are supposed to be selected from an underlying stationary and ergodic process. Then, under some general conditions, the uniform almost-complete convergence rate as well as the asymptotic distribution of the estimator are established. A numerical study, including simulated and real data application, is performed to illustrate the validity and the finite-sample performance of the considered estimator.

Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/10485252.2020.1797021

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