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Uniform Confidence Bands for Local Polynomial Quantile Estimators∗
Published online by Cambridge University Press: 25 July 2014
Abstract
This paper deals with uniform consistency and uniform confidence bands for the quantile function and its derivatives. We describe a kernel local polynomial estimator of quantile function and give uniform consistency. Furthermore, we derive its maximal deviation limit distribution using an approximation in the spirit of Bickel and Rosenblatt [P.J. Bickel and M. Rosenblatt, Ann. Statist. 1 (1973) 1071–1095].
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- Research Article
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- © EDP Sciences, SMAI, 2014
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