Asymptotic Properties
For, under some regularity conditions, is asymptotically normal:
where
- and
Direct estimation of the asymptotic variance-covariance matrix is not always satisfactory. Inference for quantile regression parameters can be made with the regression rank-score tests or with the bootstrap methods; see Kocherginsky, He, and Mu (2005).
Read more about this topic: Quantile Regression
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“A drop of water has the properties of the sea, but cannot exhibit a storm. There is beauty of a concert, as well as of a flute; strength of a host, as well as of a hero.”
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