El Ghouch, Anouar; van Keilegom, Ingrid Local linear quantile regression with dependent censored data. (English) Zbl 1191.62057 Stat. Sin. 19, No. 4, 1621-1640 (2009). 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. Cited in 17 Documents MSC: 62G05 Nonparametric estimation 62G20 Asymptotic properties of nonparametric inference 65C60 Computational problems in statistics (MSC2010) Keywords:censoring; kernel smoothing; local linear smoothing; mixing sequences; nonparametric regression; quantile regression; strong mixing; survival analysis PDFBibTeX XMLCite \textit{A. El Ghouch} and \textit{I. van Keilegom}, Stat. Sin. 19, No. 4, 1621--1640 (2009; Zbl 1191.62057) Full Text: Link