Asymptotic behaviour of nonparametric conditional quantile estimates for time series

DOI10.2307/3315442MaRDI QIDQ4855331zbMATH OpenOpenAlexFDO

Authors Peide Shi

Publication date 8 April 1996

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

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

zbMATH Keywords

conditional quantile estimationderivativesB-spline approximationstrictly stationary sequencebeta-mixingoptimal global convergence ratesB-spline based estimatorsnonparametric regression quantiles

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Convergence rate of b-spline estimators of nonparametric conditional quantile functions^∗
• Optimal convergence rates of nonparametric conditional quantiles in dependent cases
• Some asymptotic results on bivariate quantile splines
• Local asymptotics for nonparametric quantile regression with regression splines
• REGRESSION QUANTILES FOR TIME SERIES

Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 913255 (Why is no real title available?)
• Additive regression and other nonparametric models
• Central limit theorems for empirical and U-processes of stationary mixing sequences
• Convergence of stochastic processes
• Density estimation in the L^ norm for dependent data with applications to the Gibbs sampler
• Flexible Parsimonious Smoothing and Additive Modeling
• Optimal global rates of convergence for nonparametric regression
• Quantile smoothing splines
• Rates of convergence for empirical processes of stationary mixing sequences
• Regression Quantiles

Cited in

(9)

• Quantile processes for semi and nonparametric regression
• REGRESSION QUANTILES FOR TIME SERIES
• Nonparametric estimates for conditional quantiles of time series
• Local asymptotics for nonparametric quantile regression with regression splines
• Conditional time-dependent nonparametric estimators with an application to healthcare production function
• Conditional empirical, quantile and difference processes for a large class of time series with applications
• \(M\)-type regression splines involving time series
• Nonparametric inference of quantile curves for nonstationary time series
• Some asymptotic results on bivariate quantile splines

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