Subsampling inference for nonparametric extremal conditional quantiles
Kurisu, D. & Otsu, T.
(2023).
Subsampling inference for nonparametric extremal conditional quantiles.
Econometric Theory,
https://doi.org/10.1017/S0266466623000336
(2023).
Subsampling inference for nonparametric extremal conditional quantiles.
Econometric Theory,
https://doi.org/10.1017/S0266466623000336
This paper proposes a subsampling inference method for extreme conditional quantiles based on a self-normalized version of a local estimator for conditional quantiles, such as the local linear quantile regression estimator. The proposed method circumvents difficulty of estimating nuisance parameters in the limiting distribution of the local estimator. A simulation study and empirical example illustrate usefulness of our subsampling inference to investigate extremal phenomena.
