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

DOI10.1016/0047-259X(91)90034-YzbMath0737.62078MaRDI QIDQ1176293

Stephen L. Portnoy

Publication date: 25 June 1992

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

zbMATH Keywords

decomposition; linear processes; nonstationary processes; ARMA processes; general linear model; dependent errors; Bahadur representation of regression quantiles; departures from independence; error processes; highly non-stationary; nonvanishing bias term

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G35: Nonparametric robustness

62J05: Linear regression; mixed models

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ARCH tests and quantile regressions, Local linear spatial quantile regression, On monotonicity of regression quantile functions, Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es, Asymptotics for argmin processes: convexity arguments, Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes., Local asymptotics for quantile smoothing splines, The moving blocks bootstrap and robust inference for linear least squares and quantile regressions, Optimal tests for autoregressive models based on autoregression rank scores, Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables, Direct use of regression quantiles to construct confidence sets in linear models, Restricted regression quantiles, Extremal quantile regression, Tests of linear hypotheses based on regression rank scores

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