Pointwise Estimation of Density of Heteroscedastistic Response in Regression Hyun, Ji-Hoon; Kim, Si-Won; Lee, Sung-Dong; Byun, Wook-Jae; Son, Mi-Kyoung; Kim, Choong-Rak;
In fitting a regression model, we often encounter data sets which do not follow Gaussian distribution and/or do not have equal variance. In this case estimation of the conditional density of a response variable at a given design point is hardly solved by a standard least squares method. To solve this problem, we propose a simple method to estimate the distribution of the fitted vales under heteroscedasticity using the idea of quantile regression and the histogram techniques. Application of this method to a real data sets is given.
Conditional distribution function;heteroscedasticity;histogram;quantile regression;
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