Weighted quantile regression for AR model with infinite variance errors

DOI10.1080/10485252.2012.698280zbMath1254.62092OpenAlexW2001297674WikidataQ36678831 ScholiaQ36678831MaRDI QIDQ3145394

Zhao Chen, Run-Ze Li, Yao-hua Wu

Publication date: 20 December 2012

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc3595619

zbMATH Keywords

infinite varianceautoregressive model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05)

Related Items (10)

Self-weighted quantile estimation of autoregressive conditional duration model ⋮ A Gini Autocovariance Function for Time Series Modelling ⋮ Marcinkiewicz–Zygmund type strong law of large numbers for weighted sums of random variables with infinite moment and its applications ⋮ A probability approximation framework: Markov process approach ⋮ Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models ⋮ Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors ⋮ Asymptotics of self-weighted M-estimators for autoregressive models ⋮ Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors ⋮ Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference ⋮ Gini autocovariance function used for time series with heavy-tail distributions

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