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arXiv · 1209.1156

Asymptotics for penalized spline estimators in quantile regression

Takuma Yoshida
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Abstract

Quantile regression predicts the $τ$-quantile of the conditional distribution of a response variable given the explanatory variable for $τ\in(0,1)$. The aim of this paper is to establish the asymptotic distribution of the quantile estimator obtained by penalized spline method. A simulation and an exploration of real data are performed to validate our results.

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Takuma Yoshida. 2012-09-06. Asymptotics for penalized spline estimators in quantile regression. https://arxiv.org/abs/1209.1156

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