Nonparametric quantile regression with heavy-tailed and strongly dependent errors

DOI10.1007/s10463-012-0359-8zbMath1440.62330OpenAlexW2119944987MaRDI QIDQ1934479

Toshio Honda

Publication date: 28 January 2013

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd10-157.pdf

zbMATH Keywords

conditional quantilelinear processlong-range dependencerandom designlocal linear regressionstable distributionmartingale central limit theoremcheck function

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

A simple nonparametric conditional quantile estimator for time series with thin tails

Uses Software

• quantreg
• fBasics
• RMetrics
• longmemo

Cites Work

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