Nonparametric estimation of the conditional median function for long-range dependent processes

DOI10.14490/JJSS1995.30.129MaRDI QIDQ2767517zbMATH OpenOpenAlexFDO

Authors Toshio Honda

Publication date 25 April 2002

Published in Journal of the Japan Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14490/jjss1995.30.129

zbMATH Keywords

asymptotic normalitylong-range dependencebandwidthleast absolute deviationlinear processesconditional medianlocal LAD regression

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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• Nonparametric estimation of conditional medians for linear and related processes
• Asymptotic distribution of smoothers based on local means and local medians under dependence
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• Nonparametric quantile regression with heavy-tailed and strongly dependent errors
• Asymptotic properties for l 1 norm kernel estimator of conditional median under dependence

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