Nonparametric estimation of quantiles for a class of stationary processes

DOI10.1007/S11425-015-5024-2MaRDI QIDQ2629806zbMATH OpenOpenAlexFDO

Authors Chu Huang, Hanchao Wang, Zhengyan Lin

Publication date 7 July 2016

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-015-5024-2

zbMATH Keywords

\(m\)-dependent approximationasymptotic inferencecausal processkernel methodquantile estimatorstationary processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• scientific article; zbMATH DE number 2152698
• Kernel type smoothed quantile estimation under long memory
• Smooth estimate of quantiles under association
• Fixed design regression quantiles for time series
• Asymptotics for the linear kernel quantile estimator

Cites work

• A Bahadur-type representation for empirical quantiles of a large class of stationary, possibly infinite-variance, linear processes
• A Note on Quantiles in Large Samples
• Approximation Theorems of Mathematical Statistics
• Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
• Conditions for linear processes to be strong-mixing
• Empirical processes of long-memory sequences
• Gaussian approximations for non-stationary multiple time series
• scientific article; zbMATH DE number 4078527 (Why is no real title available?)
• Kernel estimation for time series: an asymptotic theory
• Nonlinear system theory: Another look at dependence
• On a Family of Symmetric Bernoulli Convolutions
• On Bahadur's Representation of Sample Quantiles
• On tail probabilities for martingales
• On the Bahadur representation of sample quantiles for dependent sequences
• On the distance between smoothed empirical and quantile processes
• Oscillations of empirical distribution functions under dependence
• Simultaneous nonparametric inference of time series
• Strong approximation for a class of stationary processes

Cited in

(12)

• On sample marginal quantiles for stationary processes
• Nonparametric inference for quantile cointegrations with stationary covariates
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• Noninformative nonparametric quantile estimation for simple random samples
• ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
• Quantile Estimation in Dependent Sequences
• Kernel type smoothed quantile estimation under long memory
• scientific article; zbMATH DE number 2152698 (Why is no real title available?)
• scientific article; zbMATH DE number 6096 (Why is no real title available?)
• Nonparametric estimation of time-dependent quantiles in a simulation model
• On nonparametric estimation for cross-sectional sampled data under stationarity
• Nonparametric inference of quantile curves for nonstationary time series

This page was built for publication: Nonparametric estimation of quantiles for a class of stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2629806)