Non-parametric estimation of conditional quantiles
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- Ould-SaIÂ¨d, Elias, 2006. "A strong uniform convergence rate of kernel conditional quantile estimator under random censorship," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 579-586, March.
- De Gooijer, Jan G. & Gannoun, Ali & Zerom, Dawit, 2002. "Mean squared error properties of the kernel-based multi-stage median predictor for time series," Statistics & Probability Letters, Elsevier, vol. 56(1), pages 51-56, January.
- Fernandes, Marcelo & Guerre, Emmanuel & Horta, Eduardo, 2017. "Smoothing quantile regressions," Textos para discussão 457, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Laksaci, Ali & Lemdani, Mohamed & Ould-Sad, Elias, 2009. "A generalized L1-approach for a kernel estimator of conditional quantile with functional regressors: Consistency and asymptotic normality," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1065-1073, April.
- Gannoun, Ali & Girard, Stephane & Guinot, Christiane & Saracco, Jerome, 2004. "Sliced inverse regression in reference curves estimation," Computational Statistics & Data Analysis, Elsevier, vol. 46(1), pages 103-122, May.
- Gardes, Laurent & Girard, Stéphane, 2016. "On the estimation of the functional Weibull tail-coefficient," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 29-45.
- Ioannides, D. A., 2004. "Fixed design regression quantiles for time series," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 235-245, July.
- Abberger, Klaus, 1994. "Nichtparametrische Schätzung bedingter Quantile in Finanzmarktdaten," Discussion Papers, Series II 225, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
- Lee, Tae-Hwy & Saltoglu, Burak, 2002. "Assessing the risk forecasts for Japanese stock market," Japan and the World Economy, Elsevier, vol. 14(1), pages 63-85, January.
More about this item
KeywordsQuantile regression kernel estimation large sample methods;
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