Nonparametric Estimation and Inference on Conditional Quantile Processes

@inproceedings{Qu2011NonparametricEA,
  title={Nonparametric Estimation and Inference on Conditional Quantile Processes},
  author={Zhongjun Qu},
  year={2011}
}
This paper presents estimation methods and asymptotic theory for the analysis of a nonparametrically speci…ed conditional quantile process. Two estimators based on local linear regressions are proposed. The …rst estimator applies simple inequality constraints while the second uses rearrangement to maintain quantile monotonicity. The bandwidth parameter is allowed to vary across quantiles to adapt to data sparsity. For inference, the paper …rst establishes a uniform Bahadur representation and… CONTINUE READING