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http://dx.doi.org/10.5351/KJAS.2012.25.1.197

Pointwise Estimation of Density of Heteroscedastistic Response in Regression  

Hyun, Ji-Hoon (Korea Science Academy of KAIST)
Kim, Si-Won (Korea Science Academy of KAIST)
Lee, Sung-Dong (Korea Science Academy of KAIST)
Byun, Wook-Jae (Korea Science Academy of KAIST)
Son, Mi-Kyoung (Department of Statistics, Pusan National University)
Kim, Choong-Rak (Department of Statistics, Pusan National University)
Publication Information
The Korean Journal of Applied Statistics / v.25, no.1, 2012 , pp. 197-203 More about this Journal
Abstract
In fitting a regression model, we often encounter data sets which do not follow Gaussian distribution and/or do not have equal variance. In this case estimation of the conditional density of a response variable at a given design point is hardly solved by a standard least squares method. To solve this problem, we propose a simple method to estimate the distribution of the fitted vales under heteroscedasticity using the idea of quantile regression and the histogram techniques. Application of this method to a real data sets is given.
Keywords
Conditional distribution function; heteroscedasticity; histogram; quantile regression;
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