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Marcelo Fernandes, Queen Mary U. Print
Thursday, 27 October 2016, 12:15 - 13:15

Marcelo Fernandes, Queen Mary University

Smoothing Quantile Regressions

Abstract:  We propose a smoothed estimator for linear quantile regression models. We provide a uniform Bahadur-Kiefer representation, with an asymptotic rate that dominates the standard quantile regression estimator. We show that our estimator obtains second-order improvements,  generalizing previous results by Azzalini (1981). In addition, we show how to estimate the asymptotic covariance matrix. A simulation study shows that our estimator performs very well relative to the extant estimator in the literature.

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Location: R42.2.113
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