Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions
非参数条件分布与分位数函数的最优带宽选择
We propose a data-driven least-square cross-validation method to optimally select smoothing parameters for the nonparametric estimation of conditional cumulative distribution functions and conditional quantile functions. We allow for general multivariate covariates that can be continuous, categorical, or a mix of either. We provide asymptotic analysis, examine finite-sample properties via Monte Carlo simulation, and consider an application involving testing for first-order…