Non-Crossing Non-Parametric Estimates of Quantile Curves
Non-Crossing Non-Parametric Estimates of Quantile Curves
Summary Since the introduction by Koenker and Bassett, quantile regression has become increasingly important in many applications. However, many non-parametric conditional quantile estimates yield crossing quantile curves (calculated for various p ∈ (0, 1)). We propose a new non-parametric estimate of conditional quantiles that avoids this problem. The method uses …