A note on quantile estimation for long-range dependent stochastic processes
This note investigates the consistency properties of the kernel-type estimator of a quantile, in the setting of a long memory stationary stochastic process. Under a general long-range dependence situation (without any restriction of gaussian type) we give consistency results, and rates of convergence. An interesting by-product of this paper is a new consistency result for kernel-type estimator of a smooth distribution function (with rates) over the whole real line.
Volume (Year): 76 (2006)
Issue (Month): 2 (January)
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- Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September.
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- Cai, Zongwu & Roussas, George G., 1997. "Smooth estimate of quantiles under association," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 275-287, December.
- Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
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