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Nonparametric estimation of conditional quantiles is of fundamental importance in analyzing general regression problems, especially when heteroscedasticity is suspected. Koenker et al. (Biometrika 81, 1994, 673) generalized the classical Koenker-Bassett regression quantiles to provide spline estimators of conditional quantiles when there is a single regressor. Later, He et al. (J. Roy. Statist. Soc...
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