Asymptotic behaviour of nonparametric conditional quantile estimates for time series

DOI10.2307/3315442zbMath0834.62040MaRDI QIDQ4855331

Peide Shi

Publication date: 8 April 1996

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315442

zbMATH Keywords

derivatives; conditional quantile estimation; B-spline approximation; strictly stationary sequence; beta-mixing; optimal global convergence rates; B-spline based estimators; nonparametric regression quantiles

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Related Items

\(M\)-type regression splines involving time series

Cites Work

• Density estimation in the \(L^ \infty\) norm for dependent data with applications to the Gibbs sampler
• Additive regression and other nonparametric models
• Central limit theorems for empirical and \(U\)-processes of stationary mixing sequences
• Rates of convergence for empirical processes of stationary mixing sequences
• Optimal global rates of convergence for nonparametric regression
• Flexible Parsimonious Smoothing and Additive Modeling
• Regression Quantiles
• Quantile smoothing splines
• Convergence of stochastic processes
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