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Re: st: smoothing quantiles

From   Nick Cox <>
Subject   Re: st: smoothing quantiles
Date   Sat, 2 Apr 2011 18:23:39 +0100

I did not say that quantile smoothing is harder than density
estimation, and I don't think it is.

What you want sounds more like quantile regression to me. See -qreg-.


2011/4/2 László Sándor <>:

> Thank you, Nick, this is very useful.
> It turns out that I myself would have been more interested in
> something like density estimation (well, more like CDFs), but instead
> of 3D plots of density (I know that this is possible), using "level
> sets" or contour curves in 2D, which basically plotting the quantiles
> of yvar in terms of values (not quantiles) of xvar.
> The code you just sent does not seem to do that. But maybe this is
> only how we can plot the results of hdquantile? I should play with it
> more. In any case, you say that CDFs (quantiles) are harder to smooth
> than densities? This makes sense. But for descriptive purposes I would
> still try to do that in a dataset rich (large) enough.
> Am I wrong on this? If not, do you know of an easyish workaround?

> On Sat, Apr 2, 2011 at 3:13 AM, Nick Cox <> wrote:
>> One way of seeing what -hdquantile- does is, naturally, graphical.
>> sysuse auto
>> hdquantile mpg, gen(hdq_mpg)
>> qplot *mpg , c(. l) ms(Oh none)
>> where -qplot- is from SJ.
>> It seems curious to me that quantile smoothing is far less practised
>> than density estimation.
>> Nick
>> On Fri, Apr 1, 2011 at 5:50 PM, Nick cox <> wrote:
>>> I implemented one method in -hdquantile- from SSC.
>>> On 1 Apr 2011, at 17:43, László Sándor <> wrote:
>>>> Hi all,
>>>> I would like to plot smooth predicted quantiles with Stata 11.2 on
>>>> Unix (console).
>>>> My goal is to have something like what lowess is for the mean for the
>>>> yvar. Preferably, it would be nice to be able to plot multiple
>>>> quantiles in the same plot (e.g., all 3 quartiles). This would be a
>>>> useful way to summarize the distribution of a yvar across the values
>>>> of an xvar.
>>>> I'd rather not reinvent the wheel on this one --- I hope there is
>>>> something like this already out there (or built in), only I could not
>>>> find it.

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