Fixed design regression quantiles for time series
AbstractThis paper studies nonparametric estimation of regression quantiles under the fixed design model. We suppose that the error random variables are coming from a strictly stationary stochastic process satisfying the strong mixing condition. The joint asymptotic normality for the estimators of several quantiles is given. The same property is established for the regression quantile estimator at different fixed design points.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 68 (2004)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Toshio Honda, 2000. "Nonparametric Estimation of a Conditional Quantile for α-Mixing Processes," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(3), pages 459-470, September.
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- Marc Hallin & Zudi Lu & Davy Paindaveine & Miroslav Siman, 2012. "Local Constant and Local Bilinear Multiple-Output Quantile Regression," Working Papers ECARES ECARES 2012-003, ULB -- Universite Libre de Bruxelles.
- Oberhofer, Walter & Haupt, Harry, 2005. "The asymptotic distribution of the unconditional quantile estimator under dependence," Statistics & Probability Letters, Elsevier, vol. 73(3), pages 243-250, July.
- Oberhofer, Walter & Haupt, Harry, 2005. "Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design," University of Regensburg Working Papers in Business, Economics and Management Information Systems 406, University of Regensburg, Department of Economics.
- Oberhofer, Walter & Haupt, Harry, 2003. "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems 388, University of Regensburg, Department of Economics.
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