On the uth geometric conditional quantile

Abstract

Motivated by Chaudhuri's work [1996. On a geometric notion of quantiles for multivariate data. J. Amer. Statist. Assoc. 91, 862–872] on unconditional geometric quantiles, we explore the asymptotic properties of sample geometric conditional quantiles, defined through kernel functions, in high-dimensional spaces. We establish a Bahadur-type linear representation for the geometric conditional quantile estimator and obtain the convergence rate for the corresponding remainder term. From this, asymptotic normality including bias on the estimated geometric conditional quantile is derived. Based on these results, we propose confidence ellipsoids for multivariate conditional quantiles. The methodology is illustrated via data analysis and a Monte Carlo study.