A smooth block bootstrap for quantile regression with time series
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Publication:1650073
DOI10.1214/17-AOS1580zbMath1392.62128MaRDI QIDQ1650073
Daniel J. Nordman, Karl B. Gregory, Soumendra Nath Lahiri
Publication date: 29 June 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1525313078
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09)
Related Items (4)
On the serial correlation in multi-horizon predictive quantile regression ⋮ Autoregressive wild bootstrap inference for nonparametric trends ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity ⋮ Methods to compute prediction intervals: a review and new results
Uses Software
Cites Work
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