The Annals of Statistics

Nearly root-$n$ approximation for regression quantile processes

Stephen Portnoy

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Abstract

Traditionally, assessing the accuracy of inference based on regression quantiles has relied on the Bahadur representation. This provides an error of order $n^{-1/4}$ in normal approximations, and suggests that inference based on regression quantiles may not be as reliable as that based on other (smoother) approaches, whose errors are generally of order $n^{-1/2}$ (or better in special symmetric cases). Fortunately, extensive simulations and empirical applications show that inference for regression quantiles shares the smaller error rates of other procedures. In fact, the “Hungarian” construction of Komlós, Major and Tusnády [Z. Wahrsch. Verw. Gebiete 32 (1975) 111–131, Z. Wahrsch. Verw. Gebiete 34 (1976) 33–58] provides an alternative expansion for the one-sample quantile process with nearly the root-$n$ error rate (specifically, to within a factor of $\log n$). Such an expansion is developed here to provide a theoretical foundation for more accurate approximations for inference in regression quantile models. One specific application of independent interest is a result establishing that for conditional inference, the error rate for coverage probabilities using the Hall and Sheather [J. R. Stat. Soc. Ser. B Stat. Methodol. 50 (1988) 381–391] method of sparsity estimation matches their one-sample rate.

Article information

Source
Ann. Statist., Volume 40, Number 3 (2012), 1714-1736.

Dates
First available in Project Euclid: 2 October 2012

Permanent link to this document
https://projecteuclid.org/euclid.aos/1349196389

Digital Object Identifier
doi:10.1214/12-AOS1021

Mathematical Reviews number (MathSciNet)
MR3015041

Zentralblatt MATH identifier
1284.62291

Subjects
Primary: 62E20: Asymptotic distribution theory 62J99: None of the above, but in this section
Secondary: 60F17: Functional limit theorems; invariance principles

Keywords
Regression quantiles asymptotic approximation Hungarian construction

Citation

Portnoy, Stephen. Nearly root-$n$ approximation for regression quantile processes. Ann. Statist. 40 (2012), no. 3, 1714--1736. doi:10.1214/12-AOS1021. https://projecteuclid.org/euclid.aos/1349196389


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