Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach

Nonparametric conditional cumulative distribution function (CDF) estimation has emerged as a powerful tool having widespread potential application, which has led to a literature on estimators of conditional quantile functions that are obtained via inversion of the nonparametrically estimated conditional CDF. Other nonparametric estimators of conditional quantiles that are based on an alternative characterization of the quantile (i.e., as the …