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Local linear quantile regression with dependent censored data. (English) Zbl 1191.62057

Summary: We consider the problem of nonparametrically estimating the conditional quantile function from censored dependent data. The method proposed here is based on a local linear fit using the check function approach. The asymptotic properties of the proposed estimator are established. Since the estimator is defined as a solution of a minimization problem, we also propose a numerical algorithm. We investigate the performance of the estimator for small samples through a simulation study, and we also discuss the optimal choice of the bandwidth parameters.

MSC:

62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
65C60 Computational problems in statistics (MSC2010)
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