Quantile Autoregression for Censored Data

DOI10.1111/jtsa.12174zbMath1396.62201OpenAlexW2222852592MaRDI QIDQ2817309

Seokwoo Jake Choi, Stephen L. Portnoy

Publication date: 30 August 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12174

zbMATH Keywords

quantileKaplan-Meierself-consistentautoregressioncensored time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Censored data models (62N01) Estimation in survival analysis and censored data (62N02)

Cites Work

• Unnamed Item
• Asymptotic behavior of regression quantiles in non-stationary, dependent cases
• Optimal tests for autoregressive models based on autoregression rank scores
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Autoregression quantiles and related rank-scores processes
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Regression Analsis with Censored Autocorrelated Data
• Censored Regression Quantiles
• Asymptotics for censored regression quantiles
• Censored time series analysis with autoregressive moving average models
• Quantile Autoregression
• Estimating a distribution function for censored time series data

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