Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions

We propose a data-driven least-square cross-validation method to optimally select smoothing parameters for the nonparametric estimation of conditional cumulative distribution functions and conditional quantile functions. We allow for general multivariate covariates that can be continuous, categorica...

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Veröffentlicht in:	Journal of business & economic statistics 2013-01, Vol.31 (1), p.57-65
Hauptverfasser:	Li, Qi, Lin, Juan, Racine, Jeffrey S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Childrens health Continuous variables Cross-validation Cumulative distribution functions Data smoothing Data-driven Economic statistics Economic theory Estimation methods Estimators Kernel functions Kernel smoothing Monte Carlo simulation Parent socioeconomic status Quantiles Statistical estimation Stochastic models Studies
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