Conditional Quantile Estimation based on Optimal Quantization: from Theory to Practice
CHARLIER, Isabelle
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
European Center for Advanced Research in Economics and Statistics [ECARES]
Département de Mathématique [Bruxelles] [ULB]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
European Center for Advanced Research in Economics and Statistics [ECARES]
Département de Mathématique [Bruxelles] [ULB]
PAINDAVEINE, Davy
Département de Mathématique [Bruxelles] [ULB]
European Center for Advanced Research in Economics and Statistics [ECARES]
Département de Mathématique [Bruxelles] [ULB]
European Center for Advanced Research in Economics and Statistics [ECARES]
SARACCO, Jérôme
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
CHARLIER, Isabelle
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
European Center for Advanced Research in Economics and Statistics [ECARES]
Département de Mathématique [Bruxelles] [ULB]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
European Center for Advanced Research in Economics and Statistics [ECARES]
Département de Mathématique [Bruxelles] [ULB]
PAINDAVEINE, Davy
Département de Mathématique [Bruxelles] [ULB]
European Center for Advanced Research in Economics and Statistics [ECARES]
Département de Mathématique [Bruxelles] [ULB]
European Center for Advanced Research in Economics and Statistics [ECARES]
SARACCO, Jérôme
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
< Reduce
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Language
en
Article de revue
This item was published in
Computational Statistics and Data Analysis. 2015
Elsevier
English Abstract
Small-sample properties of a nonparametric estimator of conditional quantiles based on optimal quantization, that was recently introduced (J. Statist. Plann. Inference, 156, 14–30, 2015), are investigated. More precisely, ...Read more >
Small-sample properties of a nonparametric estimator of conditional quantiles based on optimal quantization, that was recently introduced (J. Statist. Plann. Inference, 156, 14–30, 2015), are investigated. More precisely, (i) the practical implementation of this estimator is discussed (by proposing in particular a method to properly select the corresponding smoothing parameter, namely the number of quantizers) and (ii) its finite- sample performances are compared to those of classical competitors. Monte Carlo studies reveal that the quantization-based estimator competes well in all cases and sometimes dominates its competitors, particularly when the regression function is quite complex. A real data set is also treated. While the main focus is on the case of a univariate covariate, simulations are also conducted in the bivariate case.Read less <
English Keywords
Conditional quantiles
Optimal quantization
Nonparametric regression
Origin
Hal imported