Local linear quantile estimation for nonstationary time series

DOI10.1214/08-AOS636zbMATH Open1173.62066MaRDI QIDQ834360FDOQ834360

Authors 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

Bahadur representationsmoothinglocal linear regressionlocal stationarityclimate changequantile estimationglobal warmingnonstationary nonlinear time series

Mathematics Subject Classification ID

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

Abstract: We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates under a mild short-range dependence condition. Our results are applied to environmental data sets. In particular, our results can be used to address the problem of whether climate variability has changed, an important problem raised by IPCC (Intergovernmental Panel on Climate Change) in 2001.

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