Nonparametric estimates for conditional quantiles of time series
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Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Publication:4955678
- Asymptotic Results of a Nonparametric Conditional Quantile Estimator for Functional Time Series
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
Cites work
- scientific article; zbMATH DE number 3840941 (Why is no real title available?)
- scientific article; zbMATH DE number 3222478 (Why is no real title available?)
- A Review of Nonparametric Time Series Analysis
- ARMA MODELS WITH ARCH ERRORS
- Asymptotic distribution of smoothers based on local means and local medians under dependence
- Asymptotics of conditional empirical processes
- Descriptive statistics for non-parametric models. III: Dispersion
- Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Local quantile regression
- Methods for Estimating a Conditional Distribution Function
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Nonparametric curve estimation from time series
- Nonparametric estimation of conditional VaR and expected shortfall
- Nonparametric function estimation involving time series
- Nonparametric statistics for stochastic processes
- On the Glivenko-Cantelli theorem for generalized empirical processes based on strong mixing sequences
- REGRESSION QUANTILES FOR TIME SERIES
- Regression Quantiles
- Robust Statistics
- Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
Cited in
(17)- Local linear quantile estimation for nonstationary time series
- Time-Variant Nonparametric Extreme Quantile Estimation with Application to Us Temperature Data
- Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes
- Conditional empirical, quantile and difference processes for a large class of time series with applications
- On conditional scale functions: estimate and asymptotic properties
- On probabilistic properties of conditional medians and quantiles
- On conditional scale function: estimate and asymptotic properties
- REGRESSION QUANTILES FOR TIME SERIES
- Statistical inference for conditional quantiles in nonlinear time series models
- Conditional time-dependent nonparametric estimators with an application to healthcare production function
- Nonparametric inference for conditional quantiles of time series
- Extreme-quantile tracking for financial time series
- Simultaneous confidence bands for expectile functions
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- Quantile estimation of regression models with GARCH-X errors
- Nonparametric inference of quantile curves for nonstationary time series
- A consistent nonparametric test for the structure change in quantile regression
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