Local polynomial estimation of quantile density functions

Niclas Jacobsen; Natalie Neumeyer

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arXiv · 2607.16016

Local polynomial estimation of quantile density functions

Niclas Jacobsen·Natalie Neumeyer

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Abstract

A new approach for nonparametric estimation of the quantile density function (sparsity function) and its derivatives is suggested which is based on local polynomial estimation. The estimator has more advantageous properties at the boundaries than classical quantile density estimators. Asymptotic normality is shown and the bias, asymptotic variance as well as boundary properties are compared with other estimators.

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Niclas Jacobsen, Natalie Neumeyer. 2026-07-17. Local polynomial estimation of quantile density functions. https://arxiv.org/abs/2607.16016

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