Local linear quantile estimation for nonstationary time series

DOI10.1214/08-AOS636zbMath1173.62066arXiv0908.3576MaRDI QIDQ834360

Zhou Zhou, Wei-Biao Wu

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.3576

zbMATH Keywords

smoothingBahadur representationquantile estimationlocal stationarityclimate changelocal linear regressionglobal warmingnonstationary nonlinear time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items

Spectral Inference under Complex Temporal Dynamics, Nonparametric regression for locally stationary random fields under stochastic sampling design, LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS, Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes, On weighted and locally polynomial directional quantile regression, Quantile and quantile-function estimations under density ratio model, Heteroscedasticity and Autocorrelation Robust Structural Change Detection, Functional weak limit theorem for a local empirical process of non-stationary time series and its application, Simultaneous variable selection and structural identification for time‐varying coefficient models, Multivariate functional response low‐rank regression with an application to brain imaging data, Generalized varying-coefficient additive model for locally stationary time series, Robust Two-Step Wavelet-Based Inference for Time Series Models, Autoregressive approximations to nonstationary time series with inference and applications, ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES, Inference for high‐dimensional linear models with locally stationary error processes, Functional Estimation and Change Detection for Nonstationary Time Series, Graphical models for nonstationary time series, Semi-parametric inference for large-scale data with temporally dependent noise, Inverse covariance operators of multivariate nonstationary time series, Comparing time varying regression quantiles under shift invariance, Simultaneous quantile inference for non-stationary long-memory time series, UNIFORM BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED QUANTILE REGRESSION: A REDISTRIBUTION-OF-MASS APPROACH, Nonparametric specification for non-stationary time series regression, Estimation and inference for precision matrices of nonstationary time series, Inference of weighted \(V\)-statistics for nonstationary time series and its applications, BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS, Identifying shifts between two regression curves, A distribution free test for changes in the trend function of locally stationary processes, Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach, Towards a general theory for nonlinear locally stationary processes, Time-frequency analysis of locally stationary Hawkes processes, Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model, Data science, big data and statistics, Nonparametric inference of quantile curves for nonstationary time series, Trends in distributional characteristics: existence of global warming, Non-stationary structural model with time-varying demand elasticities, Statistical inference for autoregressive models under heteroscedasticity of unknown form, Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach, Local bilinear multiple-output quantile/depth regression, Two-step estimation of time-varying additive model for locally stationary time series, Boosting high dimensional predictive regressions with time varying parameters, Nonparametric regression for locally stationary time series, GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS, Cross validation for locally stationary processes, Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators, Spatio-temporal expanding distance asymptotic framework for locally stationary processes, Predictive Inference for Locally Stationary Time Series With an Application to Climate Data, M-estimation for Moderate Deviations From a Unit Root, Convergence rate of plugin estimates for functional parameters with applications to locally-stationary time-series, Inference for non-stationary time-series autoregression, Simultaneous inference for time-varying models, Testing for jumps in the presence of smooth changes in trends of nonstationary time series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric estimates of regression quantiles and their local Bahadur representation
• Kernel and nearest-neighbor estimation of a conditional quantile
• \(M\)-estimation of linear models with dependent errors
• Strong representations for LAD estimators in linear models
• Current developments in time series modelling
• On tail probabilities for martingales
• On the estimation of optimal batch sizes in the analysis of simulation output
• Subsampling
• A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs
• Fitting time series models to nonstationary processes
• Quantile smoothing in financial time series
• Unified estimators of smooth quantile and quantile density functions
• Adaptive covariance estimation of locally stationary processes
• Nonlinear time series. Nonparametric and parametric methods
• The empirical process of a short-range dependent stationary sequence under Gaussian subordination
• Strong invariance principles for dependent random variables
• The central limit theorem for dependent random variables
• Isotonic regression: Another look at the changepoint problem
• Confidence estimation of the covariance function of stationary and locally stationary processes
• Local Linear Quantile Regression
• Trimmed Least Squares Estimation in the Linear Model
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• REGRESSION QUANTILES FOR TIME SERIES
• Limit theorems for iterated random functions
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
• Nonlinear system theory: Another look at dependence
• A Note on Quantiles in Large Samples
• SLEX Analysis of Multivariate Nonstationary Time Series