bwPI {BwQuant} | R Documentation |
Computing the plug-in bandwidth proposed by Conde-Amboage and Sanchez-Sellero (2018)
Description
Function to compute a bandwidth selector for local linear quantile regression following the plug-in rule proposed in Section 2.2 of Conde-Amboage and Sanchez-Sellero (2018).
Usage
bwPI(x, y, tau)
Arguments
x |
numeric vector of |
y |
numeric vector of |
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
Conde-Amboage, M. and Sanchez-Sellero, C. (2018). A plug-in bandwidth selector for nonparametric quantile regression. TEST, 28, 423-450. <doi:10.1007/s11749-018-0582-6>.
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
bwPI(x,y,tau)