A note on self-weighted quantile estimation for infinite variance quantile autoregression models

DOI10.1016/J.SPL.2008.03.014MaRDI QIDQ952867zbMATHOpenAlexFDO

Authors Xiao Rong Yang, Lixin Zhang

Publication date 14 November 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.03.014

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3258670 (Why is no real title available?)
• Autoregression quantiles and related rank-scores processes
• Breakdown points of t-type regression estimators
• Censored regression quantiles
• Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
• Conditional growth charts. (With discussion and rejoinder)
• Empirical likelihood
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Longitudinal data analysis using \(t\)-type regression.
• Quantile Autoregression
• Regression Quantiles
• Regression rank scores and regression quantiles
• Robust methods of estimation of regression coefficients¹

Cited in

(11)

• Self-weighted quantile estimation of autoregressive conditional duration model
• Weighted quantile regression for AR model with infinite variance errors
• Empirical likelihood for quantile autoregressive models with dependent auxiliary information
• Inference for spatial autoregressive models with infinite variance noises
• Efficient estimation and variable selection for infinite variance autoregressive models
• Gini autocovariance function used for time series with heavy-tail distributions
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• A new RCAR(1) model based on explanatory variables and observations
• Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors
• A Gini autocovariance function for time series modelling
• Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models

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