On copula-based conditional quantile estimators.

Rémillard, Bruno; Nasri, Bouchra et Bouezmarni, Taoufik (2017). On copula-based conditional quantile estimators. Statistics & Probability Letters , vol. 128 . pp. 14-20. DOI: 10.1016/j.spl.2017.04.014.

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Résumé

Recently, two different copula-based approaches have been proposed to estimate the conditional quantile function of a variable Y with respect to a vector of covariates View the MathML source: the first estimator is related to quantile regression weighted by the conditional copula density, while the second estimator is based on the inverse of the conditional distribution function written in terms of margins and the copula. Using empirical processes, we show that even if the two estimators look quite different, their estimation errors have the same limiting distribution. Also, we propose a bootstrap procedure for the limiting process in order to construct uniform confidence bands around the conditional quantile function.

Type de document:	Article
Mots-clés libres:	conditional quantile function; copula; quantile regression; bootstrap
Centre:	Centre Eau Terre Environnement
Date de dépôt:	12 févr. 2018 21:30
Dernière modification:	22 avr. 2019 04:00
URI:	https://espace.inrs.ca/id/eprint/5190

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