khmaladzize {quantreg}R Documentation

Function to compute Khmaladze Transformation

Description

Function to compute the recursive least squares transformation of the quantile regression process for the rq.test.khmal procedure.

Usage

khmaladzize(tau, atau, Z, location.scale)

Arguments

tau quantiles specified in the fitted model
atau xbar'betahat(tau) at these quantiles
Z full rq process
location.scale if T do location-scale transformation, if F do location transformation

Details

Uses adaptive kernel density estimation akj() to estimate score functions.

Value

Returns transformed Z process.

Author(s)

R. Koenker

References

Koenker, Roger and Zhijie Xiao (2000), "Inference on the Quantile Regression Process'', unpublished. <URL: http://www.econ.uiuc.edu/~roger/research/inference/inference.html>

See Also

rq.test.khmal


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