Liu
University of North Carolina
Type of Event:

Quantile regression is a very useful statistical tool to learn the relationship between the response variable and covariates. For many applications, one often needs to estimate multiple conditional quantile functions of the response variable given covariates. Although one can estimate multiple quantiles separately, it is of great interest to estimate them simultaneously. One advantage of simultaneous estimation is that multiple quantiles can share strength among them to gain better estimation accuracy than individually estimated quantile functions. Another important advantage of joint estimation is the feasibility to incorporate noncrossing constraints of quantile regression functions. In this talk, I will present a new multiple noncrossing quantile regression estimation technique. Both asymptotic properties and finite sample performance will be presented to illustrate usefulness of the proposed method.