Asymptotic behavior of regression quantiles in non-stationary, dependent cases

DOI10.1016/0047-259X(91)90034-YzbMath0737.62078MaRDI QIDQ1176293

Stephen L. Portnoy

Publication date: 25 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

decompositionlinear processesnonstationary processesARMA processesgeneral linear modeldependent errorsBahadur representation of regression quantilesdepartures from independenceerror processeshighly non-stationarynonvanishing bias term

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Linear regression; mixed models (62J05)

Related Items (34)

Quasi-maximum likelihood estimation for conditional quantiles ⋮ Instrumental variable quantile regression: a robust inference approach ⋮ Instrumental quantile regression inference for structural and treatment effect models ⋮ Dynamic quantile models ⋮ Finite sample inference for quantile regression models ⋮ Local asymptotics for quantile smoothing splines ⋮ Extremal quantile regression ⋮ Gradient-based structural change detection for nonstationary time series M-estimation ⋮ ARCH tests and quantile regressions ⋮ The moving blocks bootstrap and robust inference for linear least squares and quantile regressions ⋮ Inconsistency transmission and variance reduction in two-stage quantile regression ⋮ Local linear spatial quantile regression ⋮ Direct use of regression quantiles to construct confidence sets in linear models ⋮ Fitting censored quantile regression by variable neighborhood search ⋮ Extreme quantile regression for tail single-index varying-coefficient models ⋮ \(\ell_1\)-penalized quantile regression in high-dimensional sparse models ⋮ Discussion of ``Local quantile regression ⋮ Consistency of a nonparametric conditional quantile estimator for random fields ⋮ Restricted regression quantiles ⋮ On monotonicity of regression quantile functions ⋮ Quantile regression models with factor‐augmented predictors and information criterion ⋮ ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE ⋮ Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es ⋮ Efficient estimation in dynamic conditional quantile models ⋮ Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables ⋮ Quantile Autoregression for Censored Data ⋮ Asymptotics for argmin processes: convexity arguments ⋮ Asymptotic normality of a nonparametric conditional quantile estimator for random fields ⋮ Optimal tests for autoregressive models based on autoregression rank scores ⋮ Network quantile autoregression ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity ⋮ Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes. ⋮ Tests of linear hypotheses based on regression rank scores ⋮ Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors

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