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Showing 1 to 1 of 1 for “"local MLE"”.
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One and Two-Step Estimation of Time Variant Parameters and Nonparametric Quantiles
… data with a nonparametric method like kernel, local polynomial or spline smoothing. We demonstrate both in application and simulation that this two-step procedure of quantile estimation is superior to the parametric quantile regression. We then develop a one-step method which combines the …