Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series

DOI10.1111/1467-9892.00132MaRDI QIDQ4956027zbMATH OpenOpenAlexFDO

Authors Kanchan Mukherjee

Publication date 24 May 2000

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00132

zbMATH Keywords

autoregression quantilesheavy-tailed error distributionsL-estimatorsnonlinear time seriesrank scoresregression quantilesrobust estimationself-exciting threshold autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(12)

• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Dynamic quantile models
• Asymptotics of the signed-rank estimator under dependent observations
• The signed-rank estimator for nonlinear regression with responses missing at random
• Signed-rank regression inference via empirical likelihood
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• Nonstationary nonlinear quantile regression
• Testing for Granger-causality in quantiles
• Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
• Specification tests of parametric dynamic conditional quantiles

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