arXiv 19 Jul 2022 · Econometrics
arXiv:2207.09004 · PDF · DOI · OpenAlex · Extracted main text
For the kernel estimator of the quantile density function (the derivative of the quantile function), I show how to perform the boundary bias correction, establish the rate of strong uniform consistency of the bias-corrected estimator, and construct the confidence bands that are asymptotically exact uniformly over the entire domain $[0,1]$. The proposed procedures rely on the pivotality of the studentized bias-corrected estimator and known anti-concentration properties of the Gaussian approximation for its supremum.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bahadur, R. R (1966) A note on quantiles in large samples | 0.737 | 3 | 3 | 67% |
| 2 | Kiefer, J (1967) On Bahadur's representation of sample quantiles | 0.737 | 3 | 3 | 67% |
| 3 | Csörgo, M., L. Horváth, and P. Deheuvels (1991) Estimating the quantile-density function, in | 0.644 | 2 | 2 | 100% |
| 4 | Bloch, D. A. and J. L. Gastwirth (1968) On a simple estimate of the reciprocal of the density function | 0.405 | 1 | 1 | 100% |
| 5 | Chernozhukov, V., D. Chetverikov, and K. Kato (2014) a): Anti-concentration and honest, adaptive confidence bands | 0.405 | 1 | 1 | 100% |
| 6 | Csörgo, M. and P. Révész (1981) a): | 0.405 | 1 | 1 | 100% |
| 7 | Csörgo, M. and P. Révész (1981) b): | 0.405 | 1 | 1 | 100% |
| 8 | Falk, M (1986) On the estimation of the quantile density function | 0.405 | 1 | 1 | 100% |
| 9 | Jones, M. C (1992) Estimating densities, quantiles, quantile densities and density quantiles | 0.405 | 1 | 1 | 100% |
| 10 | Kim, J. and D. Pollard (1990) Cube root asymptotics | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 19 scored citations.