Nonparametric comparison of quantile curves
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Date
2011-03-23
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Abstract
A new test for comparing conditional quantile curves is proposed which is able to detect
Pitman alternatives converging to the null hypothesis at the optimal rate. The basic idea
of the test is to measure differences between the curves by a process of integrated non parametric
estimates of the quantile curve. We prove weak convergence of this process to a
Gaussian process and study the finite sample properties of a Kolmogorov-Smirnov test by
means of a simulation study.
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Keywords
crossing quantile curves, monotone rearrangements, nonparametric analysis of covariance, quantile regression