Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
存在无关协变量时条件分位数函数的非参数估计
Allowing for the existence of irrelevant covariates, we study the problem of estimating a conditional quantile function nonparametrically with mixed discrete and continuous data. We estimate the conditional quantile regression function using the check-function-based kernel method and suggest a data-driven cross-validation (CV) approach to simultaneously determine the optimal smoothing parameters and remove the irrelevant covariates. When the number of covariates is large, we…