Non-crossing nonparametric estimates of quantile curves

@inproceedings{Dette2007NoncrossingNE,
  title={Non-crossing nonparametric estimates of quantile curves},
  author={Holger Dette},
  year={2007}
}
In this paper a new nonparametric estimate of conditional quantiles is proposed, that avoids the problem of crossing quantile curves [calculated for various p ∈ (0, 1)]. The method uses an initial estimate of the conditional distribution function in a first step and solves the problem of inversion and monotonization with respect to p ∈ (0, 1) simultaneously. It is demonstrated that the new estimates are asymptotically normal distributed and asymptotically first order equivalent to quantile… CONTINUE READING