Kernel type smoothed quantile estimation under long memory
DOI10.1007/S00362-007-0115-YzbMATH Open1247.62232OpenAlexW2060569995MaRDI QIDQ451365FDOQ451365
Authors: Lihong Wang 
Publication date: 23 September 2012
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-007-0115-y
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Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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Cited In (10)
- Title not available (Why is that?)
- L2 consistency of the kernel quantile estimator
- Simultaneous quantile inference for non-stationary long-memory time series
- Higher-order kernel semiparametric M-estimation of long memory
- Nonparametric estimation of quantiles for a class of stationary processes
- Asymptotics for the linear kernel quantile estimator
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
- \(L^1\) properties of the Nadaraya quantile estimator
- A note on quantile estimation for long-range dependent stochastic processes
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