bandwidth.rq: bandwidth selection for rq functions
Description
function to compute bandwidth for sparsity estimation
Usage
bandwidth.rq(p, n, hs=TRUE, alpha=0.05)
Value
returns a vector of bandwidths corresponding to the argument p.
Arguments
- p
quantile(s) of interest
- n
sample size
- hs
flag for hall-sheather method
- alpha
alpha level for intended confidence intervals
Author
Roger Koenker rkoenker@uiuc.edu
Details
If hs=TRUE (default) then the Hall-Sheather(1988) rule \(O(n^{-1/3})\)
is used, if hs=FALSE then the Bofinger \(O(n^{-1/5})\) is used.
References
Hall and Sheather(1988, JRSS(B)),Bofinger (1975, Aus. J. Stat)