Uniform Confidence Bands for Local Polynomial Quantile Estimators

Camille Sabbah

ESAIM: Probability and Statistics (2014)

  • Volume: 18, page 265-276
  • ISSN: 1292-8100

Abstract

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This paper deals with uniform consistency and uniform confidence bands for the quantile function and its derivatives. We describe a kernel local polynomial estimator of quantile function and give uniform consistency. Furthermore, we derive its maximal deviation limit distribution using an approximation in the spirit of Bickel and Rosenblatt [P.J. Bickel and M. Rosenblatt, Ann. Statist. 1 (1973) 1071–1095].

How to cite

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Sabbah, Camille. "Uniform Confidence Bands for Local Polynomial Quantile Estimators." ESAIM: Probability and Statistics 18 (2014): 265-276. <http://eudml.org/doc/274373>.

@article{Sabbah2014,
abstract = {This paper deals with uniform consistency and uniform confidence bands for the quantile function and its derivatives. We describe a kernel local polynomial estimator of quantile function and give uniform consistency. Furthermore, we derive its maximal deviation limit distribution using an approximation in the spirit of Bickel and Rosenblatt [P.J. Bickel and M. Rosenblatt, Ann. Statist. 1 (1973) 1071–1095].},
author = {Sabbah, Camille},
journal = {ESAIM: Probability and Statistics},
keywords = {uniform confidence bands; conditional quantile estimation},
language = {eng},
pages = {265-276},
publisher = {EDP-Sciences},
title = {Uniform Confidence Bands for Local Polynomial Quantile Estimators},
url = {http://eudml.org/doc/274373},
volume = {18},
year = {2014},
}

TY - JOUR
AU - Sabbah, Camille
TI - Uniform Confidence Bands for Local Polynomial Quantile Estimators
JO - ESAIM: Probability and Statistics
PY - 2014
PB - EDP-Sciences
VL - 18
SP - 265
EP - 276
AB - This paper deals with uniform consistency and uniform confidence bands for the quantile function and its derivatives. We describe a kernel local polynomial estimator of quantile function and give uniform consistency. Furthermore, we derive its maximal deviation limit distribution using an approximation in the spirit of Bickel and Rosenblatt [P.J. Bickel and M. Rosenblatt, Ann. Statist. 1 (1973) 1071–1095].
LA - eng
KW - uniform confidence bands; conditional quantile estimation
UR - http://eudml.org/doc/274373
ER -

References

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