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Comparing Conditional Quantile Curves
Author(s) -
DETTE HOLGER,
WAGENER JENS,
VOLGUSHEV STANISLAV
Publication year - 2011
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/j.1467-9469.2010.00718.x
Subject(s) - mathematics , quantile , statistic , statistics , test statistic , asymptotic distribution , parametric statistics , null hypothesis , quantile regression , statistical hypothesis testing , econometrics , estimator
. We consider the problem of testing the equality of J quantile curves from independent samples. A test statistic based on an L 2 ‐distance between non‐crossing non‐parametric estimates of the quantile curves from the individual samples is proposed. Asymptotic normality of this statistic is established under the null hypothesis, local and fixed alternatives, and the finite sample properties of a bootstrap‐based version of this test statistic are investigated by means of a simulation study.