Quantile correlations and quantile autoregressive modeling
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Publication:5367361
DOI10.1080/01621459.2014.892007zbMATH Open1373.62286arXiv1209.6487OpenAlexW2165429427MaRDI QIDQ5367361FDOQ5367361
Authors: Guodong Li, Yang Li, Chih-Ling Tsai 
Publication date: 13 October 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: In this paper, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models, and introduce two valuable quantities, the quantile autocorrelation function (QACF) and the quantile partial autocorrelation function (QPACF). This allows us to extend the classical Box-Jenkins approach to quantile autoregressive models. Specifically, the QPACF of an observed time series can be employed to identify the autoregressive order, while the QACF of residuals obtained from the fitted model can be used to assess the model adequacy. We not only demonstrate the asymptotic properties of QCOR, QPCOR, QACF, and PQACF, but also show the large sample results of the QAR estimates and the quantile version of the Ljung-Box test. Simulation studies indicate that the proposed methods perform well in finite samples, and an empirical example is presented to illustrate usefulness.
Full work available at URL: https://arxiv.org/abs/1209.6487
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bootstrap methodautocorrelation functionquantile partial correlationautoregressive modelingBox-Jenkins method
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