Noncrossing quantile regression curve estimation

• 成果类型: Article
• 署名作者: Bondell, Howard D.; Reich, Brian J.; Wang, Huixia
• 署名单位: North Carolina State University
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asq048
• 发表日期: 2010
• 页码: 825838
• 关键词: centile curves

摘要

Since quantile regression curves are estimated individually, the quantile curves can cross, leading to an invalid distribution for the response. A simple constrained version of quantile regression is proposed to avoid the crossing problem for both linear and nonparametric quantile curves. A simulation study and a reanalysis of tropical cyclone intensity data shows the usefulness of the procedure. Asymptotic properties of the estimator are equivalent to the typical approach under standard conditions, and the proposed estimator reduces to the classical one if there is no crossing. The performance of the constrained estimator has shown significant improvement by adding smoothing and stability across the quantile levels.