Quantile Regression on Quantile Ranges - A Threshold Approach

DOI10.1111/jtsa.12204zbMath1356.62144OpenAlexW2489803206MaRDI QIDQ2954307

Christos Michalopoulos, Zhijie Xiao, Chung-Ming Kuan

Publication date: 12 January 2017

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

Full work available at URL: https://doi.org/10.1111/jtsa.12204

zbMATH Keywords

Bahadur representationquantile regressionserial correlationthreshold modelconfidence intervals for threshold parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15)

Related Items (1)

Single-index Thresholding in Quantile Regression

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