A note on quantile estimation for long-range dependent stochastic processes

DOI10.1016/J.SPL.2005.06.015MaRDI QIDQ2489826zbMATH OpenOpenAlexFDO

Authors Philippe Vieu, Élie Youndjé

Publication date 28 April 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.06.015

zbMATH Keywords

Kernel estimationLong memoryQuantile estimationRates of convergence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

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Cites work

• Asymptotic normality of regression estimators with long memory errors
• Asymptotic normality of the kernel quantile estimator
• scientific article; zbMATH DE number 3436465 (Why is no real title available?)
• scientific article; zbMATH DE number 775741 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3256931 (Why is no real title available?)
• Large-sample inference for nonparametric regression with dependent errors
• Nonparametric estimation under long memory dependence
• Nonparametric regression under long-range dependent normal errors
• Nonparametric regression with long-range dependence
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Smooth estimate of quantiles under association
• Smooth estimators of distribution and density functions
• Uniform strong estimation under \(\alpha\)-mixing, with rates

Cited in

(8)

• Influence of long memory on the asymptotic behaviour of functional estimators
• The difference of symmetric quantiles under long range dependence
• On quantile processes for m-dependent Rv's
• Nonparametric estimation under long memory dependence
• Kernel type smoothed quantile estimation under long memory
• scientific article; zbMATH DE number 2152698 (Why is no real title available?)
• Bootstrap variance estimation for Nadaraya quantile estimator
• The Bahadur representation for sample quantiles under negatively associated sequence

Describes a project that uses

Uses Software

• longmemo

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