Asymptotic behavior of regression quantiles in non-stationary, dependent cases

DOI10.1016/0047-259X(91)90034-YMaRDI QIDQ1176293zbMATH OpenFDO

Authors Stephen Portnoy

Publication date 25 June 1992

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(91)90034-Y

zbMATH Keywords

decompositiongeneral linear modelARMA processesnonstationary processeslinear processesdependent errorsBahadur representation of regression quantilesdepartures from independenceerror processeshighly non-stationarynonvanishing bias term

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• Asymptotic properties of a particular nonlinear regression quantile estimation.
• scientific article; zbMATH DE number 806584
• scientific article; zbMATH DE number 733890
• Regression quantiles in nonparametric regression
• Asymptotic behavior of nonparametric regression estimators
• Asymptotic Behavior of the Number of Regression Quantile Breakpoints

Cites work

• scientific article; zbMATH DE number 3907602 (Why is no real title available?)
• scientific article; zbMATH DE number 42417 (Why is no real title available?)
• Adaptive \(L\)-estimation for linear models
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• Asymptotic normality of \(L\)-statistics based on \(m(n)\)-decomposable time series
• Asymptotic relations of M-estimates and R-estimates in linear regression model
• Behavior of robust estimators in the regression model with dependent errors
• Convergence of stochastic processes
• Further remarks on robust estimation in dependent situations
• L-Estimation for Linear Models
• Non-Uniform Estimates, Moderate and Large Deviations in the Central Limit Theorem form-Dependent Random Variables
• Regression Quantiles
• Regression rank scores and regression quantiles
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Robust estimation in dependent situations
• Strong representations for LAD estimators in linear models
• The behavior of robust estimators on dependent data
• Trimmed Least Squares Estimation in the Linear Model

Cited in

(43)

• Estimation for time-varying coefficient smoothed quantile regression
• Instrumental variable quantile regression: a robust inference approach
• Inconsistency transmission and variance reduction in two-stage quantile regression
• Asymptotics of the regression quantile basic solution under misspecification.
• Quantile regression models with factor‐augmented predictors and information criterion
• Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
• Local linear spatial quantile regression
• Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach
• Asymptotic properties of a particular nonlinear regression quantile estimation.
• Dynamic quantile models
• Asymptotic normality of a nonparametric conditional quantile estimator for random fields
• Extremal quantile regression
• Quantile autoregression for censored data
• Restricted regression quantiles
• Regression quantiles for unstable autoregressive models
• Network quantile autoregression
• Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
• On monotonicity of regression quantile functions
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• Optimal tests for autoregressive models based on autoregression rank scores
• Extreme quantile regression for tail single-index varying-coefficient models
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• Asymptotic Behavior of the Number of Regression Quantile Breakpoints
• Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables
• Efficient estimation in dynamic conditional quantile models
• Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes.
• scientific article; zbMATH DE number 806584 (Why is no real title available?)
• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• Discussion of ``Local quantile regression
• Gradient-based structural change detection for nonstationary time series M-estimation
• Fitting censored quantile regression by variable neighborhood search
• Neural Networks for Partially Linear Quantile Regression
• Consistency of a nonparametric conditional quantile estimator for random fields
• Local asymptotics for quantile smoothing splines
• Asymptotics for argmin processes: convexity arguments
• Quasi-maximum likelihood estimation for conditional quantiles
• Predictive quantile regressions under persistence and conditional heteroskedasticity
• Instrumental quantile regression inference for structural and treatment effect models
• ARCH tests and quantile regressions
• Inference on model parameters with many L-moments
• Finite sample inference for quantile regression models
• Direct use of regression quantiles to construct confidence sets in linear models
• Tests of linear hypotheses based on regression rank scores

This page was built for publication: Asymptotic behavior of regression quantiles in non-stationary, dependent cases

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1176293)