Density Estimation using Quantile Variance and Quantile-Mean Covariance

Based on asymptotic properties of sample Quantile Distribution derived by Hall & Martin (1988) and Ferguson (1999), we propose a novel method which explodes Quantile Variance, and Quantile-Mean Covariance to estimate distributional density from samples. The process consists in firstly estima...

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Detalles Bibliográficos
Autores principales: Mena, Andrés Sebastián, Montes, Rojas Gabriel Victorio
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2018
Materias:
Ciencias Económicas
Density Estimation
Quantile Variance
Quantile-Mean Covariance
Bootstrap
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/169127
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-169127
record_format dspace
spelling I19-R120-10915-1691272024-09-02T17:09:49Z http://sedici.unlp.edu.ar/handle/10915/169127 Density Estimation using Quantile Variance and Quantile-Mean Covariance Mena, Andrés Sebastián Montes, Rojas Gabriel Victorio 2018-11 2018 2024-08-27T14:05:47Z en Ciencias Económicas Density Estimation Quantile Variance Quantile-Mean Covariance Bootstrap Based on asymptotic properties of sample Quantile Distribution derived by Hall & Martin (1988) and Ferguson (1999), we propose a novel method which explodes Quantile Variance, and Quantile-Mean Covariance to estimate distributional density from samples. The process consists in firstly estimate sample Quantile Variance and sample Quantile-Mean Covariance using bootstrap techniques and after use them to compute distributional density. We conducted Montecarlo Simulations for different Data Generating Process, sample size and parameters and we discovered that for many cases Quantile Density Estimators perform better in terms of Mean Integrated Squared Error than standard Kernel Density Estimator. Finally, we propose some smoothing techniques in order to reduce estimators variance and increase their accuracy. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Density Estimation
Quantile Variance
Quantile-Mean Covariance
Bootstrap
spellingShingle Ciencias Económicas
Density Estimation
Quantile Variance
Quantile-Mean Covariance
Bootstrap
Mena, Andrés Sebastián
Montes, Rojas Gabriel Victorio
Density Estimation using Quantile Variance and Quantile-Mean Covariance
topic_facet Ciencias Económicas
Density Estimation
Quantile Variance
Quantile-Mean Covariance
Bootstrap
description Based on asymptotic properties of sample Quantile Distribution derived by Hall & Martin (1988) and Ferguson (1999), we propose a novel method which explodes Quantile Variance, and Quantile-Mean Covariance to estimate distributional density from samples. The process consists in firstly estimate sample Quantile Variance and sample Quantile-Mean Covariance using bootstrap techniques and after use them to compute distributional density. We conducted Montecarlo Simulations for different Data Generating Process, sample size and parameters and we discovered that for many cases Quantile Density Estimators perform better in terms of Mean Integrated Squared Error than standard Kernel Density Estimator. Finally, we propose some smoothing techniques in order to reduce estimators variance and increase their accuracy.
format Objeto de conferencia
Objeto de conferencia
author Mena, Andrés Sebastián
Montes, Rojas Gabriel Victorio
author_facet Mena, Andrés Sebastián
Montes, Rojas Gabriel Victorio
author_sort Mena, Andrés Sebastián
title Density Estimation using Quantile Variance and Quantile-Mean Covariance
title_short Density Estimation using Quantile Variance and Quantile-Mean Covariance
title_full Density Estimation using Quantile Variance and Quantile-Mean Covariance
title_fullStr Density Estimation using Quantile Variance and Quantile-Mean Covariance
title_full_unstemmed Density Estimation using Quantile Variance and Quantile-Mean Covariance
title_sort density estimation using quantile variance and quantile-mean covariance
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/169127
work_keys_str_mv AT menaandressebastian densityestimationusingquantilevarianceandquantilemeancovariance
AT montesrojasgabrielvictorio densityestimationusingquantilevarianceandquantilemeancovariance
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