Penalizing function based bandwidth choice in nonparametric quantile regression

Abstract

In nonparametric mean regression various methods for bandwidth choice exist. These methods can roughly be divided into plug-in methods and methods based on penalizing functions. This paper uses the approach based on penalizing functions and adapt it to nonparametric quantile regression estimation, where bandwidth choice is still an unsolved problem. Various criteria for bandwitdth choice are defined and compared in some simulation examples.nonparametric quantile regression, bandwidth choice, crossvalidation, penalizing functions