| bandwidth.rq {quantreg} | R Documentation |
function to compute bandwidth for sparsity estimation
bandwidth.rq(p, n, hs=TRUE, alpha=0.05)
p |
quantile(s) of interest |
n |
sample size |
hs |
flag for hall-sheather method |
alpha |
alpha level for intended confidence intervals |
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.
returns a vector of bandwidths corresponding to the argument p.
Roger Koenker rkoenker@uiuc.edu
Hall and Sheather(1988, JRSS(B)),Bofinger (1975, Aus. J. Stat)