quantreg (version 4.77)

bandwidth.rq: bandwidth selection for rq functions

Description

function to compute bandwidth for sparsity estimation

Usage

bandwidth.rq(p, n, hs=TRUE, alpha=0.05)

Arguments

p

quantile(s) of interest

n

sample size

hs

flag for hall-sheather method

alpha

alpha level for intended confidence intervals

Value

• returns a vector of bandwidths corresponding to the argument p.

Details

If hs=TRUE (default) then the Hall-Sheather(1988) rule $O(n^{-1/3})$ is used, if hs=FALSE then the Bofinger $O(n^{-1/5})$ is used.

References

Hall and Sheather(1988, JRSS(B)),Bofinger (1975, Aus. J. Stat)