Nonparametric estimates for conditional quantiles of time series

DOI10.1007/s10182-014-0234-4zbMath1443.62254OpenAlexW2262291810MaRDI QIDQ1621960

Weining Wang, Jürgen Franke, Peter N. Mwita

Publication date: 12 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/5151

zbMATH Keywords

kernel estimateuniform consistencyvalue at risk (VaR)quantile autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Simultaneous confidence bands for expectile functions ⋮ Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes ⋮ A consistent nonparametric test for the structure change in quantile regression

Uses Software

• CAViaR

Cites Work

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