A Quantile Regression Model for Time-Series Data in the Presence of Additive Components

DOI10.1080/03610926.2013.844839zbMath1333.62206OpenAlexW2066991571MaRDI QIDQ2796937

Dawit Zerom, Ye Bin Cheng

Publication date: 30 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.844839

zbMATH Keywords

time seriesquantile regressionoracle propertykernel smootherpartially additive linear model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) 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 (1)

Estimation of a partially linear additive model with generated covariates

Cites Work

• Additive models for quantile regression: model selection and confidence bands
• Estimation of additive quantile regression
• The law of large numbers for \(U\)-statistics under absolute regularity
• Kernel estimation of a partially linear additive model
• Efficient Estimation of an Additive Quantile Regression Model
• Identifying Risk Factors for Severe Childhood Malnutrition by Boosting Additive Quantile Regression
• Probability inequalities for sums of absolutely regular processes and their applications
• Quantile smoothing splines
• On Additive Conditional Quantiles With High-Dimensional Covariates
• An Alternative Estimator for the Censored Quantile Regression Model
• Nonparametric Estimation of an Additive Quantile Regression Model
• Quantile Autoregression
• Nonparametric estimation of a conditional quantile for \(\alpha\)-mixing processes

This page was built for publication: A Quantile Regression Model for Time-Series Data in the Presence of Additive Components