Fixed design regression quantiles for time series

被引：5
|
作者：
Ioannides, DA [1 ]
机构：
[1] Univ Macedonia, Dept Econ, GR-54006 Thessaloniki, Greece
来源：
STATISTICS & PROBABILITY LETTERS | 2004年 / 68卷 / 03期
关键词：
fixed design; nonparametric estimator; regression quantile; distribution;
D O I：
10.1016/j.spl.2003.12.005
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper studies nonparametric estimation of regression quantiles under the fixed design model. We suppose that the error random variables are coming from a strictly stationary stochastic process satisfying the strong mixing condition. The joint asymptotic normality for the estimators of several quantiles is given. The same property is established for the regression quantile estimator at different fixed design points. (C) 2003 Elsevier B.V. All rights reserved.
引用
收藏
页码：235 / 245
页数：11
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