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DIB ABDESSAMAD, HAMRI MOHAMEDMEHDI, RABHI ABBES. ASYMPTOTIC NORMALITY SINGLE FUNCTIONAL INDEX QUANTILE REGRESSION UNDER RANDOMLY CENSORED DATA. JOURNAL OF SCIENCE AND ARTS 2022. [DOI: 10.46939/j.sci.arts-22.4-a07] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 01/05/2023]
Abstract
The main objective of this paper is to estimate non-parametrically the quantiles of a conditional distribution based on the single-index model in the censorship model when the sample is considered as an independent and identically distributed (i.i.d.) random variables. First of all, a kernel type estimator for the conditional cumulative distribution function (cond-cdf) is introduced. Afterwards, we give an estimation of the quantiles by inverting this estimated cond-cdf, the asymptotic properties are stated when the observations are linked with a single-index structure. Finally, a simulation study is carried out to evaluate the performance of this estimate.
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Affiliation(s)
- ABDESSAMAD DIB
- University Djillali LIABES, Laboratory of Mathematics, 22000 Sidi Bel Abbes, Algeria
| | | | - ABBES RABHI
- University Djillali LIABES, 22000 Sidi Bel Abbes, Algeria
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Adjoudj L, Tatachak A. Conditional Quantile Estimation for Truncated and Associated Data. COMMUN STAT-THEOR M 2018. [DOI: 10.1080/03610926.2018.1498895] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/27/2022]
Affiliation(s)
- Latifa Adjoudj
- Lab. MSTD, Faculty of Mathematics, USTHB, El-Alia, Algeria
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Yao M, Wang JF, Lin L. Asymptotic normality for a non parametric estimator of conditional quantile with left-truncated data. COMMUN STAT-THEOR M 2017. [DOI: 10.1080/03610926.2015.1124120] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/21/2022]
Affiliation(s)
- Mei Yao
- Shandong University Qilu Securities Institute for Financial Studies, Shandong University, Jinan, China
- School of Mathematics, Hefei University of Technology, Hefei, China
| | - Jiang-Feng Wang
- Department of Statistics, Zhejiang Gongshang University, Hongzhou, China
| | - Lu Lin
- Shandong University Qilu Securities Institute for Financial Studies, Shandong University, Jinan, China
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Guessoum Z, Hamrani F. Convergence rate of the kernel regression estimator for associated and truncated data. J Nonparametr Stat 2017. [DOI: 10.1080/10485252.2017.1303059] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/19/2022]
Affiliation(s)
- Z. Guessoum
- Lab. M.S.T.D., Faculté de Math., U.S.T.H.B., Algiers, Algeria
| | - F. Hamrani
- Faculté de Math., U.S.T.H.B., Algiers, Algeria
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Quantile regression and variable selection for partially linear model with randomly truncated data. Stat Pap (Berl) 2017. [DOI: 10.1007/s00362-016-0867-3] [Citation(s) in RCA: 7] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/25/2022]
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Goegebeur Y, Guillou A, Stupfler G. Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. ANNALES DE L'INSTITUT HENRI POINCARÉ, PROBABILITÉS ET STATISTIQUES 2015. [DOI: 10.1214/14-aihp624] [Citation(s) in RCA: 6] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Girard S, Guillou A, Stupfler G. Uniform strong consistency of a frontier estimator using kernel regression on high order moments. ESAIM-PROBAB STAT 2014. [DOI: 10.1051/ps/2013050] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/14/2022]
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Conditional quantile estimation with auxiliary information for left-truncated and dependent data. J Stat Plan Inference 2011. [DOI: 10.1016/j.jspi.2011.05.012] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/17/2022]
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Saïd EO, Yahia D. Asymptotic Normality of a Kernel Conditional Quantile Estimator Under Strong Mixing Hypothesis and Left-Truncation. COMMUN STAT-THEOR M 2011. [DOI: 10.1080/03610926.2010.489171] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/18/2022]
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Wang JF, Liang HY, Fan GL. Asymptotic Properties of Conditional Quantile Estimator Under Left-Truncated and α-Mixing Conditions. COMMUN STAT-THEOR M 2011. [DOI: 10.1080/03610926.2010.484157] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/18/2022]
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