bandwidth.rq

0th

Percentile

bandwidth selection for rq functions

function to compute bandwidth for sparsity estimation

Keywords
regression
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

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.

Value

returns a vector of bandwidths corresponding to the argument p.

References

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

Aliases
  • bandwidth.rq
Documentation reproduced from package quantreg, version 5.54, License: GPL (>= 2)

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