Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
DOI10.1111/1467-9892.00132zbMATH Open0938.62101OpenAlexW1984584489MaRDI QIDQ4956027FDOQ4956027
Authors: Kanchan Mukherjee 
Publication date: 24 May 2000
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00132
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nonlinear time seriesrobust estimationregression quantilesautoregression quantilesL-estimatorsself-exciting threshold autoregressive modelsheavy-tailed error distributionsrank scores
Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cited In (12)
- Asymptotics of the signed-rank estimator under dependent observations
- Dynamic quantile models
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Testing for Granger-causality in quantiles
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Nonstationary nonlinear quantile regression
- ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
- Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
- Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
- Signed-rank regression inference via empirical likelihood
- The signed-rank estimator for nonlinear regression with responses missing at random
- Specification tests of parametric dynamic conditional quantiles
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