UC San Diego

Abstract This paper establishes non-asymptotic concentration bound and Bahadur representation for the quantile regression estimator and its multiplier bootstrap counterpart in the random design setting. The non-asymptotic analysis keeps track of the impact of the parameter dimension $d$ and sample size $n$ in the rate of convergence, as well as in normal and bootstrap approximation errors. These results represent a useful complement to the asymptotic results under fixed design and provide theoretical guarantees for the validity of Rademacher multiplier bootstrap in the problems of confidence construction and goodness-of-fit testing. Numerical studies lend strong support to our theory and highlight the effectiveness of Rademacher bootstrap in terms of accuracy, reliability and computational efficiency.