Estimation of Quantile Functionals in Linear Model
Fuente:
arXiv
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866917629584736256 |
|---|---|
| author | Jurečková, Jana Picek, Jan Kalina, Jan |
| author_facet | Jurečková, Jana Picek, Jan Kalina, Jan |
| contents | Various indicators and measures of the real life procedures rise up as functionals of the quantile process of a parent random variable Z. However, Z can be observed only through a response in a linear model whose covariates are not under our control and the probability distribution of error terms is generally unknown. The problem is that of nonparametric estimation or other inference for such functionals. We propose an estimation procedure based on the averaged two-step regression quantile, recently developed by the authors, combined with an R-estimator of slopes of the linear model. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_02764 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Estimation of Quantile Functionals in Linear Model Jurečková, Jana Picek, Jan Kalina, Jan Methodology 62G05, 62J05 Various indicators and measures of the real life procedures rise up as functionals of the quantile process of a parent random variable Z. However, Z can be observed only through a response in a linear model whose covariates are not under our control and the probability distribution of error terms is generally unknown. The problem is that of nonparametric estimation or other inference for such functionals. We propose an estimation procedure based on the averaged two-step regression quantile, recently developed by the authors, combined with an R-estimator of slopes of the linear model. |
| title | Estimation of Quantile Functionals in Linear Model |
| topic | Methodology 62G05, 62J05 |
| url | https://arxiv.org/abs/2404.02764 |