kernesti.quantileR Documentation

Multivariate kernel conditional quantile estimator at one point

Description

Computes the value of a multivariate kernel conditional quantile estimator at one point.

Usage

kernesti.quantile(arg, x, y, h=1, p=0.5, kernel="gauss")

Arguments

arg

d-vector; the point where the estimate is evaluated

x

n*d data matrix; the matrix of the values of the explanatory variables

y

n vector; the values of the response variable

h

a positive real number; the smoothing parameter of the kernel estimate

p

0<p<1; the p:th quantile function will be estimated

kernel

a character; determines the kernel function; either "gauss" or "uniform"; in the univariate case can also be "exp"

Value

a real number

Author(s)

Jussi Klemela

See Also

pcf.kernesti,

Examples

set.seed(1)
n<-100
d<-2 
x<-8*matrix(runif(n*d),n,d)-3
C<-(2*pi)^(-d/2)
phi<-function(x){ return( C*exp(-sum(x^2)/2) ) }
D<-3; c1<-c(0,0); c2<-D*c(1,0); c3<-D*c(1/2,sqrt(3)/2)
func<-function(x){phi(x-c1)+phi(x-c2)+phi(x-c3)}
y<-matrix(0,n,1)
for (i in 1:n) y[i]<-func(x[i,])+0.01*rnorm(1)

arg<-c(0,0)
kernesti.quantile(arg,x,y,h=0.5)