Local composite quantile regression smoothing: An efficient and safe alternative to local polynomial regression

Bo Kai, Runze Li, Hui Zou

Research output: Contribution to journalArticle

111 Scopus citations

Abstract

Local polynomial regression is a useful non-parametric regression tool to explore fine data structures and has been widely used in practice. We propose a new non-parametric regression technique called local composite quantile regression smoothing to improve local polynomial regression further. Sampling properties of the estimation procedure proposed are studied. We derive the asymptotic bias, variance and normality of the estimate proposed. The asymptotic relative efficiency of the estimate with respect to local polynomial regression is investigated. It is shown that the estimate can be much more efficient than the local polynomial regression estimate for various non-normal errors, while being almost as efficient as the local polynomial regression estimate for normal errors. Simulation is conducted to examine the performance of the estimates proposed. The simulation results are consistent with our theoretical findings. A real data example is used to illustrate the method proposed.

Original languageEnglish (US)
Pages (from-to)49-69
Number of pages21
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume72
Issue number1
DOIs
StatePublished - Jan 1 2010

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Local composite quantile regression smoothing: An efficient and safe alternative to local polynomial regression'. Together they form a unique fingerprint.

  • Cite this