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

DOI10.1016/0047-259X(91)90034-YzbMATH Open0737.62078MaRDI QIDQ1176293FDOQ1176293

Authors: Stephen Portnoy 

Publication date: 25 June 1992

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

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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)

Cites Work

• Regression rank scores and regression quantiles
• Regression Quantiles
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• Robust Tests for Heteroscedasticity Based on Regression Quantiles
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• Convergence of stochastic processes
• Trimmed Least Squares Estimation in the Linear Model
• Robust estimation in dependent situations
• Behavior of robust estimators in the regression model with dependent errors
• The behavior of robust estimators on dependent data
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• Strong representations for LAD estimators in linear models
• Asymptotic relations of M-estimates and R-estimates in linear regression model
• L-Estimation for Linear Models
• Non-Uniform Estimates, Moderate and Large Deviations in the Central Limit Theorem form-Dependent Random Variables
• Title not available (Why is that?)
• Further remarks on robust estimation in dependent situations
• Asymptotic normality of \(L\)-statistics based on \(m(n)\)-decomposable time series

Cited In (40)

• Inconsistency transmission and variance reduction in two-stage quantile regression
• Instrumental variable quantile regression: a robust inference approach
• Quantile regression models with factor‐augmented predictors and information criterion
• Asymptotics of the regression quantile basic solution under misspecification.
• Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
• Local linear spatial quantile regression
• Asymptotic properties of a particular nonlinear regression quantile estimation.
• Asymptotic normality of a nonparametric conditional quantile estimator for random fields
• Dynamic quantile models
• Extremal quantile regression
• Quantile autoregression for censored data
• Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
• Restricted regression quantiles
• Regression quantiles for unstable autoregressive models
• Network quantile autoregression
• On monotonicity of regression quantile functions
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• Extreme quantile regression for tail single-index varying-coefficient models
• Optimal tests for autoregressive models based on autoregression rank scores
• 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.
• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• Title not available (Why is that?)
• Discussion of ``Local quantile regression
• Gradient-based structural change detection for nonstationary time series M-estimation
• Neural Networks for Partially Linear Quantile Regression
• Fitting censored quantile regression by variable neighborhood search
• 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
• ARCH tests and quantile regressions
• Instrumental quantile regression inference for structural and treatment effect models
• 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

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