function to compute bandwidth for sparsity estimation
bandwidth.rq(p, n, hs=TRUE, alpha=0.05)quantile(s) of interest
sample size
flag for hall-sheather method
alpha level for intended confidence intervals
returns a vector of bandwidths corresponding to the argument p.
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.
Hall and Sheather(1988, JRSS(B)),Bofinger (1975, Aus. J. Stat)