Asymptotic normality of convergent estimates of conditional quantiles

被引：33

作者：

Berlinet, A ^{[1
]}

Gannoun, A ^{[1
]}

Matzner-Lober, E ^{[1
]}

机构：

[1] Univ Montpellier 2, Dept Math Sci, F-34095 Montpellier 5, France

来源：

STATISTICS | 2001年 / 35卷 / 02期

关键词：

asymptotic normality; conditional quantiles; alpha-mixing stationary processes; time series; forecasting;

D O I：

10.1080/02331880108802728

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：

We state sufficient conditions for asymptotic normality of convergent estimates of conditional quantiles, irrespective of data dependence and consider the particular case of cu-mixing stationary processes under optimal condition of convergence. We apply this result to confidence intervals building for time series predictors based on nonparametric estimates of the conditional median.

引用

页码：139 / 169

页数：31

共 50 条

[11] ASYMPTOTIC NORMALITY OF SPECTRAL ESTIMATES
BENTKUS, RY
ZHURBENKO, IG
DOKLADY AKADEMII NAUK SSSR, 1976, 229 (01): : 11 - 14
[12] Asymptotic representation theory for nonstandard conditional quantiles
Daouia, A
JOURNAL OF NONPARAMETRIC STATISTICS, 2005, 17 (02) : 253 - 268
[13] Nonparametric estimates for conditional quantiles of time series
Franke, Juergen
Mwita, Peter
Wang, Weining
ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2015, 99 (01) : 107 - 130
[14] Nonparametric estimates for conditional quantiles of time series
Jürgen Franke
Peter Mwita
Weining Wang
AStA Advances in Statistical Analysis, 2015, 99 : 107 - 130
[15] ASYMPTOTIC NORMALITY OF SAMPLE QUANTILES FOR M-DEPENDENT PROCESSES
SEN, PK
ANNALS OF MATHEMATICAL STATISTICS, 1968, 39 (05): : 1724 - &
[16] UNIFORM ASYMPTOTIC JOINT NORMALITY OF SAMPLE QUANTILES IN CENSORED CASES
MATSUNAWA, T
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1973, 25 (02) : 261 - 278
[17] NECESSARY AND SUFFICIENT CONDITIONS FOR THE ASYMPTOTIC NORMALITY OF PERTURBED SAMPLE QUANTILES
RALESCU, SS
SUN, S
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1993, 35 (01) : 55 - 64
[18] Asymptotic Normality of Kernel Density Estimates
Journal of Mathematical Research with Applications, 1990, (03) : 376 - 376
[19] ASYMPTOTIC NORMALITY OF M-ESTIMATES
ONISHCHENKO, VF
TSYBAKOV, AB
AUTOMATION AND REMOTE CONTROL, 1987, 48 (07) : 926 - 935
[20] ASYMPTOTIC NORMALITY OF LAG WINDOW ESTIMATES
HALILOV, A
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 1990, 19 (01) : 71 - 74

← 1 2 3 4 5 →