Title: Regression quantile and averaged regression quantile processes
Authors: Jana Jureckova - Charles University in Prague (Czech Republic) [presenting]
Abstract: The regression alpha-quantile and its two-step version, and weighted averages B($\alpha$) and B*($\alpha$) of both, with the regressors as the weights are considered. They are asymptotically equivalent to each other and to the location $\alpha$-quantile of the model errors. As the processes in $\alpha \in (0,1)$, they differ by a drift and converge to the Brownian bridge over (0,1) after a suitable standardization.