Averaged Autoregression Quantiles in Autoregressive Model

DOI10.1007/978-3-030-48814-7_1MaRDI QIDQ5141226zbMATHOpenAlexFDO

Authors Olcay Arslan, Yeşim Güney, Jana Jurečková

Publication date 18 December 2020

Published in Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-48814-7_1

zbMATH Keywords

autoregressive modelquantile autoregressionlocal heteroscedasticity

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites work

• scientific article; zbMATH DE number 1124635 (Why is no real title available?)
• A property of the observations fit by the extreme regression quantiles
• Adaptive estimation of autoregressive models with time-varying variances
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Autoregression quantiles and related rank-scores processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Averaged Regression Quantiles
• Averaged extreme regression quantile
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics
• Generalized autoregressive conditional heteroscedasticity
• Inference on the Quantile Regression Process
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Optimal tests for autoregressive models based on autoregression rank scores
• Quantile Autoregression
• Quantile correlations and quantile autoregressive modeling
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Quantile regression.
• Rank Tests under Uncertainty: Regression and Local Heteroscedasticity
• Regression Quantiles
• Regression quantile and averaged regression quantile processes
• Regression rank scores and regression quantiles
• Time series: theory and methods.
• Unit Root Quantile Autoregression Inference

Describes a project that uses

Uses Software

• quantreg
• KScorrect

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