Multiplier Bootstrap for Quantile Regression
This is simulation code for the paper "Multiplier bootstrap for quantile regression: Non-asymptotic theory under random design". See here for the paper. The code can reproduce numerical results in Section 3 and Appendix B.
Specifically, to duplicate results in Section 3.1 and Appendix B.1, run the file mb_ci.R to construct confidence intervals, to replicate results in Section 3.2 and Appendix B.2, run the files mb_ht.R and mb_pc.R to conduct hypothesis tests and draw power curves. In all the files, we allow the following various settings, with details stated in the paper:
- Model type: homoscedastic model / heteroscedastic model
- Error distribution: student's t / normal mixture type I / normal mixture type II
- Covariates design: independent / weakly correlated / equally correlated
Xiaoou Pan xip024@ucsd.edu, Wen-Xin Zhou wez243@ucsd.edu
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Koenker, R. (2005). Quantile Regression. Cambridge Univ. Press, Cambridge. Book
Koenker, R. (2019). Package "quantreg". CRAN
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Pan, X. and Zhou, W.-X. (2019). Multiplier bootstrap for quantile regression: Non-asymptotic theory under random design. Information and Inference: A Journal of the IMA, to appear. Paper
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