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Wolfgang Karl Härdle, Weining Wang Print
Wednesday, 28 April 2010, 16:00 - 17:00

Local Quantile Regression

Wolfgagn Karl Härdle
Weining Wang

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variable. Quantile regression is a technique to estimate such curves. In a exible modeling framework, a specic form of the quantile is not a priori xed. Indeed, the majority of application do not per se require specic functional forms. This motivates a local parametric rather than a global xed model tting approach. A nonparametric smoothing estimate of the conditional quantile curve requires to consider a balance between local curvature and variance. In this paper, we analyze a method based on a local model selection that provides an adaptive estimates. Theoretical properties on mimicking the oracle choice are oered and applications to VaR are presented.

Location: 2NO906
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