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

DOI10.1016/J.SPL.2008.03.014zbMATH Open1154.62064OpenAlexW2106937797MaRDI QIDQ952867FDOQ952867

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

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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)

Cites Work

• Censored regression quantiles
• Regression rank scores and regression quantiles
• Regression Quantiles
• Title not available (Why is that?)
• Quantile Autoregression
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Empirical likelihood
• Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
• Longitudinal data analysis using \(t\)-type regression.
• Breakdown points of t-type regression estimators
• Robust methods of estimation of regression coefficients¹
• Autoregression quantiles and related rank-scores processes
• Conditional growth charts. (With discussion and rejoinder)

Cited In (7)

• Self-weighted quantile estimation of autoregressive conditional duration model
• Weighted quantile regression for AR model with infinite variance errors
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Gini autocovariance function used for time series with heavy-tail distributions
• A Gini Autocovariance Function for Time Series Modelling
• A new RCAR(1) model based on explanatory variables and observations
• Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors

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