Asymptotic normality of composite quantile regression estimation for diffusion models

MaRDI QIDQ5497567zbMATH OpenFDO

Authors Jixia Wang, Qingxian Xiao

Publication date 11 February 2015

zbMATH Keywords

asymptotic normalitycomposite quantile regression estimationdiffusion modeldrift function

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12)

Recommendations

• Local composite quantile regression estimation of return parameter vector for time-varying diffusion model
• Local composite quantile regression estimation of time-varying parameter vector for multidimensional time-inhomogeneous diffusion models
• scientific article; zbMATH DE number 6401355
• Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data
• Estimation of diffusion parameters in diffusion processes and their asymptotic normality

Cited in

(4)

• Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
• Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data
• Local composite quantile regression estimation of time-varying parameter vector for multidimensional time-inhomogeneous diffusion models
• Local composite quantile regression estimation of return parameter vector for time-varying diffusion model

This page was built for publication: Asymptotic normality of composite quantile regression estimation for diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5497567)