Abstract:Local composite quantile regression is a useful non-parametric regression method widely used for its high efficiency. Data smoothing methods using kernel are typically used in the estimation process with performances that rely largely on the smoothing parameter rather than the kernel. However, L 2 -norm is generally used as criterion to estimate the performance of the regression function. In addition, many studies have been conducted on the selection of smoothing parameters that minimize mean square error (MSE… Show more
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