bwYJ: Computing the plug-in bandwidth proposed by Yu and Jones...

In BwQuant: Bandwidth Selectors for Local Linear Quantile Regression

Description

Function to compute a bandwidth selector for local linear quantile regression following the plug-in rule proposed by Yu and Jones (1998).

Usage

bwYJ(x, y, tau)

Arguments

x	numeric vector of x data.
y	numeric vector of y data. This must be the same length as x.
tau	the quantile order where the regression function is to be estimated. It must be a number strictly between 0 and 1.

Value

Returns a bandwidth for a local linear estimate of the tau-quantile regression function.

Author(s)

Mercedes Conde-Amboage and Cesar Sanchez-Sellero.

References

Ruppert, D., Sheather, S. J. and Wand, M. P. (1995). An efective bandwidth selector for local least squares regression. Journal of the American Statistical Association. 90, 1257-1270.

Yu, K. and Jones, M. C. (1998). Local linear quantile regression. Journal of the American Statistical Association, 93, 228-237.

See Also

The obtained bandwidth can be used in the function llqr to produce a local linear estimate of the tau-quantile regression function.

Examples

set.seed(1234)
x=runif(100)
y=10*(x^4+x^2-x)+rexp(100)
tau=0.25
bwYJ(x,y,tau)

BwQuant documentation built on Feb. 8, 2022, 5:17 p.m.