Adaptive Kernel Estimation of the Conditional Quantiles
Adaptive Kernel Estimation of the Conditional Quantiles
In this paper, we define the adaptive kernel estimation of the conditional distribution function (cdf) for independent and identically distributed (iid) data using varying bandwidth. The bias, variance and the mean squared error of the proposed estimator are investigated. Moreover, the asymptotic normality of the proposed estimator is investigated.<br /><br …