Asymptotics for the linear kernel quantile estimator

DOI10.1007/S11749-019-00627-9zbMath1439.62119OpenAlexW2911133430MaRDI QIDQ2177715

Wei Yu, Wenzhi Yang, Yi Wu, Shuhe Hu, Xue-jun Wang

Publication date: 6 May 2020

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-019-00627-9

zbMATH Keywords

asymptotic normalityBahadur representationvalue-at-riskstrong consistencylinear kernel quantile estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Economic time series analysis (91B84)

Related Items (6)

A kernel nonparametric quantile estimator for right-censored competing risks data ⋮ An Extensive Comparison of Some Well‐Established Value at Risk Methods ⋮ Some improved results on Berry–Esséen bounds for strong mixing random variables and applications ⋮ A Marcinkiewicz-Zygmund type strong law for weighted sums of \(\phi \)-mixing random variables and its applications ⋮ The Bahadur representation for sample quantiles under dependent sequence ⋮ Statistical inference for a heteroscedastic regression model with φ-mixing errors

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