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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

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.

Author(s)

Roger Koenker rkoenker@uiuc.edu

References

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

quantreg

Quantile Regression

v5.85
GPL (>= 2)
Authors
Roger Koenker [cre, aut], Stephen Portnoy [ctb] (Contributions to Censored QR code), Pin Tian Ng [ctb] (Contributions to Sparse QR code), Blaise Melly [ctb] (Contributions to preprocessing code), Achim Zeileis [ctb] (Contributions to dynrq code essentially identical to his dynlm code), Philip Grosjean [ctb] (Contributions to nlrq code), Cleve Moler [ctb] (author of several linpack routines), Yousef Saad [ctb] (author of sparskit2), Victor Chernozhukov [ctb] (contributions to extreme value inference code), Ivan Fernandez-Val [ctb] (contributions to extreme value inference code), Brian D Ripley [trl, ctb] (Initial (2001) R port from S (to my everlasting shame -- how could I have been so slow to adopt R!) and for numerous other suggestions and useful advice)
Initial release

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