Kernel type smoothed quantile estimation under long memory

DOI10.1007/S00362-007-0115-YMaRDI QIDQ451365zbMATHOpenAlexFDO

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

zbMATH Keywords

asymptotic normalitystrong consistencylong memory time series

Mathematics Subject Classification ID

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)

Recommendations

• A note on quantile estimation for long-range dependent stochastic processes
• scientific article; zbMATH DE number 2152698
• Nonparametric estimation under long memory dependence
• Smooth estimate of quantiles under association
• Nonparametric estimation of quantiles for a class of stationary processes

Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 3436465 (Why is no real title available?)
• scientific article; zbMATH DE number 1944314 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A note on quantile estimation for long-range dependent stochastic processes
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• An algorithm for optimal bandwidth selection for smooth nonparametric quantile estimation
• Asymptotic normality of the kernel quantile estimator
• Averaged periodogram estimation of long memory
• Density estimation under long-range dependence
• Estimation of quantiles in certain nonparametric models
• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
• How can we Define the Concept of Long Memory? An Econometric Survey
• Log-periodogram regression of time series with long range dependence
• Necessary and sufficient conditions for the asymptotic normality of perturbed sample quantiles
• Noncentral limit theorems and Appell polynomials
• Nonparametric Statistical Data Modeling
• Nonparametric estimation under long memory dependence
• Nonparametric regression under long-range dependent normal errors
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Relative deficiency of kernel type estimators of quantiles
• Semiparametric analysis of long-memory time series
• Smooth estimate of quantiles under association
• Smooth estimators of distribution and density functions
• Some New Estimates for Distribution Functions
• Strong approximation for long memory processes with applications
• Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences
• The Asymptotic Inadmissibility of the Sample Distribution Function
• The Invariance Principle for Stationary Processes
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Uniform strong estimation under \(\alpha\)-mixing, with rates
• Weak convergence of smoothed and nonsmoothed bootstrap quantile estimates

Cited in

(11)

• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
• Quantilograms under strong dependence
• Asymptotics for the linear kernel quantile estimator
• scientific article; zbMATH DE number 2152698 (Why is no real title available?)
• L² consistency of the kernel quantile estimator
• \(L^1\) properties of the Nadaraya quantile estimator
• scientific article; zbMATH DE number 3940535 (Why is no real title available?)
• A note on quantile estimation for long-range dependent stochastic processes
• 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

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: Kernel type smoothed quantile estimation under long memory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q451365)