I need the description of Huber sandwich estimate method for Quantilequantile regression and it is urgent:) please help!.
I found this "a Huber sandwich estimate using a local estimate of the sparsity functionfunction"." Sparsity function looks like that $s(\theta)=f(F^{-1}(\theta))^{-1}$, $F$ is a distribution of residuals and $f$ is a density function of $F$. So my question is what exactly means "local estimate of sparsity function":)