Asymptotics for penalized spline estimators in quantile regression

Abstract

Quantile regression predicts the $\tau$-quantile of the conditional distribution of a response variable given the explanatory variable for $\tau \in (0,1)$. The aim of this paper is to establish the asymptotic distribution of the quantile estimator obtained by penalized spline method. A simulation and an exploration of real data are performed to validate our results.

20 pages, 11 figures