Quantile Regression - Asymptotic Properties

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

Famous quotes containing the word properties:

    “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.”
    —Ralph Waldo Emerson (1803–1882)