Spatial quantile estimation of multivariate threshold time series models

DOI10.1016/J.PHYSA.2017.05.062MaRDI QIDQ2146847zbMATH OpenOpenAlexFDO

Authors Jiancheng Jiang, Jingzhi Li, Yi Liu, Wanfeng Yan, Xuejun Jiang

Publication date 21 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.05.062

zbMATH Keywords

vector time seriesmultivariate threshold time series modelsspatial quantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Autoregression quantiles and related rank-scores processes
• Functional-Coefficient Autoregressive Models
• Least absolute deviation estimation for regression with ARMA errors
• Least absolute deviations estimation for ARCH and GARCH models
• Modelling multiple time series via common factors
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric multivariate descriptive measures based on spatial quantiles
• On a Geometric Notion of Quantiles for Multivariate Data
• On multivariate quantile regression
• Robust and efficient estimation with weighted composite quantile regression
• Robust modelling of DTARCH models
• Testing and Modeling Multivariate Threshold Models
• Testing and Modeling Threshold Autoregressive Processes
• Weighted composite quantile regression estimation of DTARCH models
• \(M\)-estimation, convexity and quantiles

Cited in

(5)

• A Space-Time Skew-t Model for Threshold Exceedances
• Semiconductor chip's quality analysis based on its high dimensional test data
• Quantile regression on quantile ranges -- a threshold approach
• Estimation for the spatial autoregressive threshold model
• Local influence analysis for quasi-likelihood nonlinear models with random effects

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