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Backfitting and smooth backfitting for additive quantile models

Young Kyung Lee, Enno Mammen, Byeong U. Park
2010 Annals of Statistics  

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2010 pre-print arXiv:1011.2592v1 fatcat:kvk2mhsfprh4xa74xklebsd2si

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2013 accepted
arXiv:1011.2592v2 fatcat:mpmyo7w3nzcnzppvsdrqid5fwq
In this paper, we study the ordinary backfitting and smooth backfitting as methods of fitting additive quantile models. We show that these backfitting quantile estimators are asymptotically equivalent to the corresponding backfitting estimators of the additive components in a specially-designed additive mean regression model. This implies that the theoretical properties of the backfitting quantile estimators are not unlike those of backfitting mean regression estimators. We also assess the
more » ... e sample properties of the two backfitting quantile estimators.
doi:10.1214/10-aos808 fatcat:v73i44mxafgkfhtvn7v7qhpqci
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Young Kyung Lee, Enno Mammen, Byeong U. Park. "Backfitting and smooth backfitting for additive quantile models." Annals of Statistics 38.5 (2010) 2857-2883